Yields on short-term bonds tend to be more volatile than yields on long-term bonds. Supposethat you have estimated that the yield on 20-year bonds changes by 10 basis points for every21-basis-point move in the yield on 5-year bonds. You hold a $1.5 million portfolio of 5-yearmaturity bonds with modified duration 4 years and desire to hedge your interest rate exposurewith T-bond futures, which currently have a modified duration of 9 years and sell at F0=$95.How many futures contracts should you sell?
part of it may be: 20 year duration of 9 current value 70000 it's cut off so I'm sorry it's confusing
