Search results

On Hedging question, -120 would be correct if the corr coeff was 1 (i.e. they were perfectly corr).But in the question they had given corr coeff, Sd1, SD2. So, it should be (corr coeff)*SD2/SD1 which gives 30 and as you mentioned, since iti s a short positon. it brings -30. Isnt that right?

IO duration, i thought it should be negative but less than that of PO (coz for pass through, Interest part starts high reduces as time passes - So, thought IO should have lesser duration than PO. Not sure)

i dont fully remember the question. But they had diff standard deviations i think.

Duration of IO strip - Was it -20? (For PO they gave it as 25 if i remember correctly)

There was a question on finding a min variance position. corr coeff , and standard deviations were given. I tried using -(Corr*SD1/SDP) . Got an answer of -30? Anyone remembers this? Also, for 28, i got the answer as LIBOR+118. Anyone got the same answer?