For duration management, I found two formula. In other fixed-income strategies chapter Number of future contracts (Nf) =(DDT-DDI)/DDCTD* Conversion factor for the CTD Bond Where DDT = Target Dollar duration of the portfolio, DDI = Initial dollar duration for the portfolio DDCTD=The dollar duration of the cheapest to deliver bond Converson factor for the CTD bond = Dollar Duration CTD/Dollar Duration of futures but in strategies and application for managing interest rate risk chapter Number of future contracts (Nf) = (MDURT-MDURB/MDURf)*B/f * yield beta where MDURT = Target modified duration of the portfolio MDURB = Initial Modified duration of the portfolio MDURF = Modified duration of future contract B = bond value , f = future contract price It seems the only difference between them is the yield beta in the second formula Yield beta is necessary for fix-income duration management or not??? Any help? Thanks!
just my opinion, but i find the curriculum all over map. seems like they address the same issues slightly differently in different readings, without any comment/reconciliation… and if you compare to level 2, it’s more disjointed with no admission of such. they do things differently than level 2 for same material, and again no reconciliation. i presume/hope i’m not violating any rules, but it’s the truth and very disappointing.
CFAIII2008, I don’t have the books with me at the moment, but could it be that you mixed up the “international FI” material with the regular(?) FI material? As far as I remember, yield beta (or country beta) is a concept from the international reading…