It is january 30 you are managing a bond portfolio worth 6, Ask an Expert

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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. How should you hedge against changes in interest rates over the next 6 months?

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Financial Management, Finance

Category:- Financial Management
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