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What the number of contracts to short for three-month hedge

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Question - A 3-month hedge is required for a $10 million portfolio. Duration of the portfolio in 3 months will be 3.8 years. The 3-month T-bond futures price is 93-02 so that contract price is $93,062.50. The duration of the cheapest-to-deliver bond in 3 months is 9.2 years. What the number of contracts to short for a 3-month hedge?

Reference no: EM133019101

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