Does anyone know when to use the yield beta what you are changing duration? The formula is easy, but when do you know to multiply by the yield beta? Is it only when they are asking for a hedge ratio?
Great question… I was just wondering about the same thing…
There’s a long thread on this. The result was…inconclusive.
You use yield beta when it’s is given. It’s simple enough.
Let me know if it still is confusing http://www.analystforum.com/phorums/read.php?13,1143043,1144406#msg-1144406
you use it when the change in the yield on the bond is not the same as the change in the yield on the CTD. if it is same, yield beta is one.