Yield Beta and CTD Conversion Factor ( 2009 Mock Q51)

CFA Level III
#1

help help pls… The question said “use US Tsy Futures with a duration of 6.5 priced at 110,425” CTD Conversion factor is 0.9177 and yield beta is 1.12. The answer used target dollar duration/(6.5*Future Price of 110425) * Conversion Factor… Why is the conversion factor needed here? The question stated that the future price is 110,425 as compared to the CTD bond price is 110425… Also Why is the yield beta not used here?

#2

USE THE SEARCH FUNCTION

#3

http://www.analystforum.com/phorums/read.php?13,979999,984882,page=2#msg-984882

#4

I see…! THanks a lot~