HOW TO CALCULATE HEDGED RETURNS FOR BOND SPREAD TRADES

Bond · February 5th, 2007, 5:20 pm

Can someone tell me howto calculate hedged total return for relative bond trade?ie. Long 10-year German Bund vs. Short 10-year Gilthow do i account for the currency loss/gain (through forward contracts?!)tks

renikus · March 27th, 2007, 5:39 am

you may want to look at how BCA do this.... perhaps there is something on the website, or you could email one of the strategists perhaps..H.