Question: What is the dollar duration of the swap? Write your answer in unit of (million dollars x year). (Hint: Be specific about the sign of the duration)? How many swaps do you need to delta-hedge the interest rate exposure of the fund's mortgage holdings? (Fractional swaps are permissible) PLEASE DON'T ATTEMPT TO USE CHATGPT OR ANSWER IT, IF YOU DON'T KNOW DERIVATIVES MODELING THANKS. ELSE I WILL REPORT YOU

Imagine that you manage an investment fund that is long in $2.00 million pool of whole mortgages. You estimate that the effective duration of those holdings is 6.07 years. You are concerned that the central bank is going to tighten and you want to hedge your exposure using an interest rate swap. The swap has the follow terms: - Type: fixed for floating - Frequency: annual - Maturity: 10 years - Fixed rate: 3.23% (annual percentage rate) - Floating rate: LIBOR - Notional principal: one million Currently the yield curve is flat at 3.23%, and the first floating rate payment will be based on 3.23%