How many contracts do you buy or sell

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Reference no: EM131618143

Suppose you want to hedge a $260 million bond portfolio with a duration of 8.6 years using 10-year Treasury note futures with a duration of 5.6 years, a futures price of 102, and 101 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Round your answer to the nearest whole number.)

Reference no: EM131618143

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