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Suppose you want to hedge a $290 million bond portfolio with a duration of 9 years using 10-year Treasury note futures with a duration of
Suppose you want to hedge a $290 million bond portfolio with a duration of 9 years using 10-year Treasury note futures with a duration of 6 years, a futures price of 107, and 113 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Round your answer to the nearest whole number.) |
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