Opinion: DO you think the calculation of this sucker will be tested? or will it be some quick comment of: How do you Hedge a MBS? Answer: Use two instruments: Sell a short term (2 year) and a Long Term Bond (10 year). THe LOS says CONTRAST a two bond hedge (not calculate). BUT they have a problem in the ENd of Chapter probs… Im chewing through this now… dont really want to be an expert on this…
not sure if it’s going to be tested. However, it’s not as difficult as it looks. There have been a few posts on this before, you can check them out.
Got it … yah it is pretty easy BUT the calcs take some time. I was getting pretty bored around the time I was solving for H2…