- UID
- 222300
- 帖子
- 619
- 主题
- 52
- 注册时间
- 2011-7-2
- 最后登录
- 2015-12-20
|
It's tackling 2 different concepts:
- hedge ratio addresses the relationship between the price of bond being hedged (BBH) & that delivered in the futures (CTD)
- yield beta is the relative change in the spread between the BBH and the CTD
.. that's why the hedge ratio can assume Yield Beta = 1. |
|