How to hedge against interest rate risk

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A portfolio is worth $24,000,000 and has a duration of 4 years. The futures price for a Treasury note futures contract is 100-10 and each contract is for the delivery of bonds with a face value of 100,000. On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years. How to hedge against interest rate risk? (Identify your long/short position and number of futures contracts)

Reference no: EM132050901

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