You hold a bond portfolio worth $10 million and a modified duration of 8.5. What futures transaction would you do to raise the duration to 10 if the futures price is $93,000 and its implied modified duration is 9.25? Round up to the nearest whole contract.

a. buy 109 contracts

b. buy 17 contracts

c. buy 669 contracts

d. sell 100 contracts

e. sell 669 contracts

You hold a bond portfolio worth $10 million with a yield of 10.25 percent and a duration of 8.5. What futures transaction would you do to raise the duration to 10 if the futures price is $93,000, its duration is 9.25 and its implied yield is 10.05 percent? Round up to the nearest whole contract.

a. buy 109 contracts

b. buy 17 contracts

c. buy 669 contracts

d. sell 100 contracts

e. sell 669 contracts