3
votes
Accepted
Comparing TBA and Spec OAS
Added later The first answer I came up with was embarrassingly incorrect; I have pointed out why. Please feel free to uncheck it.
Technically, this should be impossible: the Spec pool is always ...
- 791
3
votes
Accepted
Can a Bond have FX Delta Risk?
Yes.
Assuming your reporting is in USD.
Assume that by "trade price" you mean "clean price", ex accrued. Most coupon bonds are quoted like that.
If you unwind the bond position ...
- 9,574
1
vote
Economics of buying a dollar roll
Buying/selling dollar rolls does not have the same economic exposure as going long/shorting MBS. The following example hopefully clarifies this. Suppose you short (sell) a TBA on June 1st for the ...
- 791
1
vote
"The five year swap has the same dv01 as a par five year treasury bond" Why?
The book appears to be rather basic and is making the point that the dv01 of the swap and bond are approximately the same rather than exactly the same. The difference mostly comes from the discount ...
- 13.9k
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