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Suppose you want to hedge a $560 million bond portfolio with a duration of 9.8 years using 10-year Treasury note futures with a duration of

Suppose you want to hedge a $560 million bond portfolio with a duration of 9.8 years using 10-year Treasury note futures with a duration of 6.8 years, a futures price of 106, and 112 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

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