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- UID
- 222296
- 帖子
- 337
- 主题
- 13
- 注册时间
- 2011-7-2
- 最后登录
- 2014-10-26
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if in backwardation, strip hedge would be probably better (you lock-in the advantage of the backwardation - from long perspective), but the question is not only how the curve looks like now, but what you expect to happen.
rolling would produce same result as strip hedge, if the backwardation (slope) does not change... |
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发表于 2011-7-11 19:17
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