Hull Example 6.6: Assume a portfolio value of $10 million invested in government bonds. The manager hedges with T-bond futures (each contract delivers $100,000) with a current price of $93.0625. The duration of the portfolio at hedge maturity will be 6.8 and the duration of futures contract will be 9.2. How many futures contracts should be shorted?
Investment size is 10M, each contract delivers 100k, so # contracts bought should be 100?
If so then the denominator of the solution should be 9306.25 and not 93062.5 as stated in the provided solution?
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