July 3rd, 2009, 5:53 pm
I thought this would be relatively straightforward, but I can't seem to find an article online, or a thread on these forums...Assuming I have a portfolio consisting of 100% corporate bonds, each bond has a different benchmark security, I have the following information available:Corporate Bonds:NotionalCurrent Market PricePV01I can probably get more data on these if required, but from this information how do I calculate the correct notional amount of the government security in order to hedge correctly.Ideally I want to Have a +ve PV01 of X for Bond A and then hedge by Selling notional Y of Treasury A with PV01 of -X, but how do I find out Y to sell the correct amount?