| market/economy | ↓(downturn) | ↑(booming) | |
| High-credit-risk bond | yield | ↓ | ↑ |
| Treasuries | yield | ↓ ↓ | ↑ ↑ |
| Net: | credit spread | ↑(widening) | ↓(tightening) |
| Long: High-credit-risk bond | P&L | + (profit) | - (loss) |
| Short: Treasuries | P&L | -- (loss) | ++(profit) |
| Net position | - (loss) | + (profit) |
Sunday, January 9, 2011
Fixed Income Arbitrage
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