CTD dollar duration=futures dollar duration*CF it’s not applicable to CTD effective duration, right?
the CTD effective duration= futures effective duration?
yes, CTD duration = future duration (since CTD is the bond(s) used by short position to meet the obligation of the future contract) CTD price = Future price * Conv Factor Multiply by duration*delta y on both sides, CTD dollar duration = Future dollar duration*Conv factor - BN
soexcel Wrote: ------------------------------------------------------- > CTD dollar duration=futures dollar duration*CF > > it’s not applicable to CTD effective duration, > right? The only reason why effective duration of a Treasury would be different from duration is if the bond is callable. The Treasury hasn’t issued callable bonds since the '80’s and I believe they have all been called. They aren’t deliverable under the futures contract anyway so can’t be CTD.
BN Wrote: ------------------------------------------------------- > yes, CTD duration = future duration (since CTD is > the bond(s) used by short position to meet the > obligation of the future contract) > CTD price = Future price * Conv Factor > Multiply by duration*delta y on both sides, > CTD dollar duration = Future dollar duration*Conv > factor > > > - BN I’m still a little confused by this. In one of the examples in the textbook Vol 4, p. 17-18, they use the price of the futures contract and the price of the CTD interchangeably. (Both = $100,000) They do the same on p. 48, problem 2. What am I missing?
been trying to get to the bottom of this same thing for a while now…have elicited some interested responses…but no real answers…