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What does she need to do to hedge her portfolio

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Question - A portfolio manager has a bond portfolio worth $100 million. The duration of the portfolio 13.8 years. The portfolio manager believes that the interest rates are going to go up. The Treasury bond futures price is currently 92 and 5/16 and the underlying bond has a duration of 16.4 years at maturity. The underlying bonds have a FV of 100,000. What does she need to do to hedge her portfolio?

a. Buy 1000 futures contracts

b. Sell 1000 futures contracts

c. Buy 913 futures contracts

d. Sell 913 futures contracts

Reference no: EM133006662

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