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Suppose you want to hedge a $510 million bond portfolio with a duration of 3.5 years using 10-year Treasury note futures with a duration of 5 years, a futures price of 106, and 6 months 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.:- M91790713

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