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A manager of a $2 million dollar fixed-income portfolio with a duration of 3 wants to increase the duration to 4. The manager chooses a swap with a net duration of 2. The manager should become a: A. pay-floating counterparty in the swap with a notional principal of $2 million. B. pay-floating counterparty in the swap with a notional principal of $1 million. C. receive-floating counterparty in the swap with a notional principal of $1 million. |