| 摘要 |
A computer assisted method of developing a hedge position for a mortgage-backed security. The method includes calculating a duration of the security based on price histories of the security and changes in yield of a benchmark security and expressing periodic changes in price of the security. The method also includes calculating a relative coupon of the security and calculating a current coupon yield of the mortgage sector. The method further includes calculating an empirical duration of the security, calculating a hedge ratio for the security, and outputting a hedge position for the security based on the hedge ratio.
|
