To change the duration of a portfolio with both (A) Converstion Factor for the CTD bond and (B) YIELD BETA given, the answer does not use YIELD BETA to calculate the required the number of futures? Does CF already include YB? please?
Where do you guys get this mock? I’d love to get it.
which formula is the answer using?
1)(DDtarget - DDportfolio)/DDfutures
2)(DDt-DDp)/DDf * (PV/FP)
Is the country the same for the bonds and the interest rate it is referring to? If this is the case you would ignore the yield beta…
it uses the first
[(DDtarget - DDportfolio)/DDfutures] x conversion factor for the ctd bond