# “Forward price of bond” VS “Price of a bond with a future settlement date”

What is the difference between

1) computing the 'forward price' of a bond at a future time T. ( spot price - carry, involving repo rates)

2) computing the price of a bond (discounting all cash flows) with a settlement date on T.

And if I were to compute the DV01 of a Treasury future, are both of these acceptable:

a) Compute the change in forward price as defined in 1) when tweaking par yields and repo rates, with the forward date being hte delivery date of the future contract.

b) Compute the change in price of a bond as defined 2), with the settlement being the delivery date of the contract, a conversion factor applied to the result.

• In method 2 above, can't we first discount all cash flows to the "spot date" (The only difference with the spot dirty price would be if any coupons is paid between spot date and forward date), and then capitalize back to the forward date T using the carry curve (e.g. Repo curve)? – benjbe Jan 7 at 9:14

As to bond futures DV01, it is most often calculated by shifting the yields of the entire delivery basket by $x$ basis points, holding repo rates constant, and then apply a bond futures model to see how much price changes by (a model is needed to account for changes in delivery option value). You have the options of shifting either the spot yield or the forward yield; you should discuss with your traders to see whether they have any preferences.