Hedging with StRiP?

Adoniz · January 17th, 2013, 9:41 am

Quick question.....hedging swaps with bond futures gives you an unhedgeable swap spread position.But what if you hedge the swap with say a euribor strip. What kind of position have you created?

DavidJN · January 17th, 2013, 9:55 pm

See http://www.cmegroup.com/trading/interes ... s_SR.pdfor pretty much any decent textbook (Burghart, Tuckman, etc.).