Fixed Income【Session10- Reading 26】 习题精选
Hedging a mortgage security with a short Treasury futures contract is most effective if: A)
| it is trading above par. |
| | C)
| it is trading below par. |
|
If the security is trading below par, then it is most likely to exhibit positive convexity, and this will make a hedge formed with a Treasury futures contract that has positive convexity more effective. |