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You are an interest rate derivatives trader and need to hedge the interest rate risk associated with some Treasury bond options you have just sold.
You are an interest rate derivatives trader and need to hedge the interest rate risk associated with some Treasury bond options you have just sold. You determine that you need to purchase $ worth of year Treasury bonds. If these bonds are currently trading at a yield of and have a coupon rate of then how many of these bonds can you purchase with your funds? Assume that each bond has a face value of $ Also assume that you can buy fractional units of these bonds ie you are not required to round your answer to the nearest whole number
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