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I just think of this question very simply... First, assume the no arbitrage situation... Value of coupon 2 7/8 with price 98.40 equals that of coupon 4 1/2 with price ? or that of coupon 6 1/4 with price 101.30 second, in this situation we dont care of buying between #0.6(weighed quantity)...

hi, david... i've been confused with this question from FRM handbook. Q) identify the risks in a fixed-income arbitrage strategy that takes long positions in interest rate swaps hedged with short positions in Tresuries. a. The strategy could lose from decrease in the swap-treasury spread b...