# Dollar Duration Help (Vol 1 3PM exam)

After doing this exam today I ran into a couple of problems on the following questions. Question 15.1 For the CTD bond, do we always assume the par value is \$1000 if it is not given? Also, when they calculate the DD for the CTD bond they do not include the conversion factor (this ties into the next question) Question 18.4 For the DD of the CTD bond, we include the conversion factor in the calculation. But then when we calculate the # of contracts, they divide by the conversion factor again (seeming to cancel the effect out) Can anyone help me out?

If anyone has done this exam and has a quick minute to explain it would be much appreciated. Thanks

someone brought this up recently - check out http://www.analystforum.com/phorums/read.php?13,752054,752535#msg-752535 i think schweser messed up somewhere

I think it was right, but the steps weren’t necessary. All you have to do, generally, is divide by the DD of the futures contract which = CTD/conversion factor. They first calculated the DD of the CTD bond (from the futures contract), then divided to get the futures price…they could have just used the future price w/o the other 2 steps…

Question, but in this case, they multiplied the price by the conversion factor and then they divide by it after, (making the factor drop out) So if we used DDf = CTD/ conv factor we can’t get to their answer. I checked on the other thread and did not get any clarification on the issue.