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What is the number of bond futures contracts to be shorted

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Problem 1: Three month hedge is required for a $8,000,000 portfolio. Duration of the port folio in 3 months will be 7.8 years. The 3 month T-bond futures price is 94-02 so that contract price is $94,062.50. The duration of the cheapest to deliver bond in 3 months is 9.2 years. What is the number of the bond futures contracts to be shorted?

Reference no: EM132819141

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