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Q1. The duration of a bond portfolio in Nov will be 7.7 years. The January Treasury bond futures price is currently 9216 and the cheapest-to-deliver

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Q1. The duration of a bond portfolio in Nov will be 7.7 years. The January Treasury bond futures price is currently 9216 and the cheapest-to-deliver bond will have a duration of 8.2 years at maturity. How should the portfolio manager immunize a bond portfolio worth $60 million against changes in interest rates over the next five months? [Note: T-bond futures have $100,000 face value.]

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