Suppose you want to hedge a 390 million bond portfolio with, Financial Management

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Suppose you want to hedge a 390 million bond portfolio with

Suppose you want to hedge a $390 million bond portfolio with duration of 8.7 years using 10-year Treasury note futures with duration of 6.6 years, a futures price of 108, and 98 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

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Financial Management: Suppose you want to hedge a 390 million bond portfolio with

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Financial Management: Suppose you want to hedge a 390 million bond portfolio with

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