Duration-based hedge

This problem has been discussed before. It was mentioned that there was a MBS question set 2 years ago where you had to calculate (LOS apparently was the same as now). I don’t believe there was an MBS set last year, so may be it is about time for it to make its appearance again :-), so get ready to be able to solve the damned two equation set. Just pure speculation.
 
I still do not think it is necessary to calculate and solve the two equations based on the LOS. If the exam ends up requiring calculations, it is falls outside the LOS. Anyway, I decided to learn the calculation. Found that the terminology used is important such as the prices of the three bonds for ‘flattening’ and ‘steepening’ . Schweser notes do not use this same terminology in the LOS notes. Find it is really dangerous relying on Schweser.
 
elcfa Wrote:
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> Haha, good catch CP. AMA (and alta168), I suspect,
> are incarnations of AMC who also bombarded the
> forum with similar questions last year. AMC then
> AMA: I guess AMB was stillborn :-).
I am not AMC while I am also in Asia. I just past L2 exam last year !
 
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