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Suppose you want to hedge a $370 million bond portfolio with a duration of 7.7 years using 10-year Treasury note futures with a duration of 4.7 years, a futures price of 107, and 99 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91771936

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