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SHOW WORK 4. On August 1 a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio in October will be

image text in transcribedSHOW WORK

4. On August 1 a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio in October will be 7.1 years. The December Treasury bond futures price is currently 91-12 and the cheapest- to-deliver bond will have a duration of 8.8 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next two months

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