Solved: How many contracts do you buy or sell, Finance Basics

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How many contracts do you buy or sell

Problem:

Suppose you wanted to hedge a $400 million bond portfolio with a duration of 4.3 years using 10- year Treasury note futures with a duration of 6.7 years, a futures price of 102, and 3 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

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Finance Basics: How many contracts do you buy or sell

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