This question arose out of Question #27 of the 2016 CFAI Level 3 AM Multiple Choice Mock Exam…
I know the formula to calculate the number of futures needed to change bond duration is:
([Duration Tgt. - Duration Port.] * Port. Value) / (Duration CTD * Price of CTD)
My question is – why is the denominator multiply Duration of CTD by the Price of CTD? Why is the futures contract price not considered?