Supercharging Tranche Convexity - Part II

16 Aug 2007

In the second part of this Learning Curve we will analyze a strategy for optimizing spread convexity profiles, as laid out in part one last week.

In the second part of this Learning Curve we will analyze a strategy for optimizing spread convexity profiles, as laid out in part one last week.

Analyzing Our StrategyTable 1 compares our strategy with the popular delta-hedged long 0-3% trade. While delta-hedged ...

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