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Suppose you want to hedge a $ 5 4 0 million bond portfolio with a duration of 3 . 9 years using 1 0 -

Suppose you want to hedge a $540 million bond portfolio with a duration of 3.9 years using 10-year Treasury note futures with a duration of 5.4 years, a futures price of 104, and 9 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

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