Hi

Does it make sense to have a vega risk limit for a portfolio of ZC bonds?

If it does make sense then would the following also make sense:

We have 1 ZC bond in the portoflio, to find the vega risk we introduce a swaption into the portfolio, find the weight of this swaption to counter any moves in the yield curve(delta-hedging style), so the portfolio is neutral to the yield curve moves , then compute the vega of this swaption with the calculated weight.

Any references welcome.

Cheers

Stevie