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John Jordan manages a bond portfolio valued at $11.2 million, which has a duration of five years. To hedge against an increase in interest rates, he wishes to employ interest-rate futures. The deliverable on the current futures contract has a duration of seven years, and the futures contract is trading at 97.5 with a contract size of $100,000. To hedge the position, Jordan must: A. buy 82 contracts. B. sell 54 contracts. C. buy 54 contracts. D. sell 82 contracts. |