Why would a spread formula built around the differential in yields or prices of 5- and 30-year

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Why would a spread formula built around the differential in yields or prices of 5-

and 30-year treasuries be far less risky than the actual mismatched formula used by Bankers Trust?

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Global Derivatives Debacles From Theory To Malpractice

ISBN: 9789814366199

1st Edition

Authors: Laurent L Jacque

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Question Posted: Jun 10, 2024 02:21 AM

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Why would a spread formula built around the differential in yields or prices of 5- and 30-year

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Global Derivatives Debacles From Theory To Malpractice

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