# of Contracts - Different Formulas - FI Duration
Anyone notice that there are 2 formulas one can use for # of Contracts when using futures to increase/lower duration? Schweser has:
# of contracts = (DDt - DDp)/DDf where DDf = DDctd/CTD conv. factor
Then on page 17 of CFAI in volume 4 I see:
# of contracts = [((DDt - DDi) x Pi)/(Dctd x Pctd)] x Conv. Factor
I haven’t yet reviewed this but it’s coming up later this evening for me… Is there a reason for the difference in formula’s used?
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