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. 

The number of contracts to short for a 3-month hedge is

Answer rating: 100% (QA)

To calculate the number of contracts to short for a 3month hedge we can use the concept of duration ... View the full answer