First and foremost, why isn’t the yield beta included? And I’m really confused now… the equation I used was: (total fund amount/ (futures price/conversion factor) ([target duration-current duration]/futures duration) * (yield beta) If the equation I used isn’t right, what is the equation used for? I have definitely seen some q’s looking for the “(total fund amount/ (futures price/conversion factor)” part… instead of just multiplying by the conversion factor like in this question Thanks in advance!
i have the same concern … hopefully someone else will shed some light
It should have been included. Its an error from CFAI. Read earlier threads.
Yes you’re right. Sorry should have searched first. Thanks!
guys i have searched but nothing came up. can you send me the link to the thread? thnks