Construct duration-matched portfolio of two bonds

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Suppose we want to construct a duration-matched portfolio of two bonds. We have a long position in a 10-year, 6.5% annual coupon bond that yields 5.5% and has a duration of 7.9366 years. For each contract we are long, how many contracts do we have to short if the other bond is an 18-year, 4.75% annual coupon bond that yields 10% and has a duration of 10.5104 years?

Reference no: EM131585094

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