Question: Below is your bond portfolio and a treasury note. The Fed is expected to increase rates in the short-term. You want to implement a short

Below is your bond portfolio and a treasury note. The Fed is expected to increase rates in the short-term. You want to implement a short duration trade. Use the US Treasury note to implement the trade. You will risk one-month DV01. Calculate the par amount to trade.

Below is your bond portfolio and a treasury note. The Fed is

Treasury Note

Cash Bond - 5 year note

Futures - 5 year futures

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