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Three- month hedge is required for a $5,000,000 portfolio. Duration of the portfolio in 3 months will be 5.7 years. 3-month T-bond futures price (contract
Three- month hedge is required for a $5,000,000 portfolio. Duration of the portfolio in 3 months will be 5.7 years. 3-month T-bond futures price (contract price) is $99,089. Duration of cheapest to deliver bond in 3 months is 7.7 years. What is the number of bond futures contracts to be shorted?
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