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Question 3: The current date is February 17th and you are managing a $250 Million bond portfolio. If you out in time six months the
Question 3: The current date is February 17th and you are managing a $250 Million bond portfolio. If you out in time six months the bond portfolios duration will be 9.8 years. The futures contract for bond futures is currently priced at 106-29. The cheapest to deliver bond will be one with a duration of 8.6 years in August. What would be a good strategy to hedge the bond portfolio?
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