How can get the intended duration using treasure bond

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Problem 1: A portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio is 3.1 years and they are corporate bonds. The portfolio manager believes that the interest rates are going to drop but not certain about the magnitude. She decides to raise the duration of her portfolio to 5. How can she get the intended duration using Treasure Bond futures contracts?

By [insert response] contracts and the number of contracts needed is [insert response] . The Treasury bond futures price is currently 93 and 3/8 and the underlying bond has a duration of 8.8 years at maturity. The underlying bonds have a FV of 100,000.

Reference no: EM132914149

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