2 Bond hedge - MBS compare, security, interest

DoubleDip

Do you think we need to know how to do this? Looking at the LOS, is does not say calculate just says compare interest rate hedging strategies to duration hedging strategies for an MBS security.

Your thoughts?

Darien

yea not too difficult but why waste time memorizing something if you don't need to but I guess why take a chance.



Edited 1 time(s). Last edit at Monday, April 25, 2011 at 12:20PM by JP_RL_CFA.

mcmc

You could be right though the 2 bond hedge used to be heavily tested in the past. It's easy to calculate - just solve a system of two linear equations. I would learning how to do that.