标题: How do you implement a two-bond hedge? [打印本页] 作者: cfa10yrplan 时间: 2011-7-13 17:24 标题: How do you implement a two-bond hedge?
I know a two-bond hedge involves using 2-year and 10-year treasury bonds, but how does it work?作者: thommo77 时间: 2011-7-13 17:24
Using two hedging instruments from two maturity sectors in the yield curve to hedge a MBS provides the benefit of adapting to twists in the yield curve
Use a 2-year Treasury and 10-year Treasury with same duration as the mortgage security; the 2-year will adjust to changes in short-term rates while the 10-year adjusts to changes at the long end of the curve
