Conversion factor and BPV

CFA Level III Fixed Income
#1

Hello, In the schweser they say this :

“The contract is based on 100,000 par. The CTD bond has a BPV of 128.98, duration of 13.53, and a conversion factor of 0.9436. The BPV = 128.98 / 0.9436 = 136.68 BPV”

But shouldnt the BPV equals to (100 000 * 13.53 * 0.0001) / 0.9436 = 143.38 ? I don’t understand the link between the duration and the BPV Thanks Coritani

#2

Isn’t it supposed to be “mkt value x duration x 0.0001”? Then divided by CF.

#3

Im not sure but i would say no because in an other example they use the par value of a credit debt to be paid back in order to compute the sensitivity of interest rate change (BPV)…

#4

Futures BPV ≈ BPVCTD / CFCTD