4You are holding $10 million face value of 30 year zero coupon US Treasury bonds.You want to set up a hedge of these bonds using the December T-bond…

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Price                           Face value                          DV01

US 30 year zeros                     21.00                          $10 million                           .061

Dec T-bond future                   110.00                          $100,000                            .132

How many futures contracts should you trade?

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