let’s say mortgage security has par of 10M let’s say H2= 0.24 do i short 2.4 M par value or mkt value?
uh…I thought this is 2 bond hedge…don’t you need information on H1??
H2= 2 year future
anyway…to answer your first question==> I don’t think so.
don’t think so? so it’s 2.4M market value?
v4, p67, right after the answer you can find how to interpret the answer. In short, it should be 0.24 per $1 of par amount of the security.
Got to be the market value.
the answer in volume 4 says 0.24 per 1$ of par amount, whatever that means.