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Suppose you want to hedge a $140 million bond portfolio with a duration of 5.4 years using 10 -year Treasury note futures with a duration
Suppose you want to hedge a $140 million bond portfolio with a duration of 5.4 years using 10 -year Treasury note futures with a duration of 6.9 years, a futures price of 104 , and 3 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.)
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