Any ideas? I have not been able to find this on BB
One of the symbols I am looking at is ZN.
The end goal is to precisely hedge each of my key rates
Thanks!
If you know the price, maturity and the coupons, can’t you just derive the duration at key maturities? Seems like it’s not a terribly difficult calculation, and could probably be done in excel with a combination of the IRR and NPV functions.
Thanks for the reply, would you mind elaborating? Are you suggesting I look at the cheapest to deliver bond on the active contract? I am hoping to calc this using BB API if possible. Potential lead found below, what do you think? www.cmegroup.com/trading/interest-rates/invoice-spread-calculator.html