Dollar duration for a futures contract

CFA Level III
#1

Does anyone know if we need to know this formula and if so does anyone have it memorized? thanks

#2

is it not: DD(f) = DD(CTD) / Conversion Factor ?

#3

yes, we need to know formula cited by chadtap, but not sure if we need to know components of DDctd. chadtap Wrote: ------------------------------------------------------- > is it not: DD(f) = DD(CTD) / Conversion Factor ?

#4

I am pretty sure on every question I have seen, relating to this subject, DD of the CTD, along with the conversion factor was given… Anybody come across anything different?

#5

Thanks. I had one written down that was throwing me: DDf = -1 X (Effective duration) X (Decimal change in interest rate) X (Face Value) X (Futures Price/100) I don’t remember where I wrote it down from.

#6

Im almost postive we have to know this formula. -1(duration)(IR change)(portfolio value) as well as (DDdesired-DDexisting)/DDfutures

#7

multiply to your DD equation Yield Beta, if given, to get # contracts caspian Wrote: ------------------------------------------------------- > Im almost postive we have to know this formula. > > -1(duration)(IR change)(portfolio value) as well > as (DDdesired-DDexisting)/DDfutures