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- 2011-7-2
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- 2014-6-29
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Using call on Treasury bonds to hedge Treasury bonds
A company has a $3M position in fixed-rate Treasury bonds and it will like to hedge the position using out-of-the money call (each cover $100,000) on Treasury bonds with delta of 0.3. How this can be implemented ? The solution said it shall SELL 100 Treasury bond calls.
Why ? Can anyone explain ? Please note it does not mention that this is a dynamic hedge. |
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发表于 2011-7-11 19:02
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