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(Treasury Bond Futures/ Duration-based Hedging Strategy) It is January 30 . You are managing a bond portfolio worth $6 million. The duration of the portfolio

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(Treasury Bond Futures/ Duration-based Hedging Strategy) It is January 30 . You are managing a bond portfolio worth $6 million. The duration of the portfolio in 6 months will be 8.2 years. The September Treasury bond futures price is currently 108-15, and the cheapest-to-deliver bond will have a duration of 7.6 years in September and there will be no interest accrued. For simplicity, assume that the conversion factor for the cheapest-to-deliver bond is 1 . How many contracts should you short until the end of July

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