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- 2011-7-2
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- 2014-6-29
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janakisri,
Thanks for your further response ! Can I conclude ?
2-bond hedge shall be used to hedge BOTH the NEGATIVE CONVEXITY and the TWIST of YC in a MBS, and the market-directionality of the MBS can be removed by the 2-bond hedge. |
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发表于 2011-7-13 16:42
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