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uppose you want to hedge a $560 million bond portfolio with a duration of 9 years using 10-year Treasury note futures with a duration of

uppose you want to hedge a $560 million bond portfolio with a duration of 9 years using 10-year Treasury note futures with a duration of 6.9 years, a futures price of 106, and 103 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

Number of contracts to sell

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