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I am trying to come up with a very simple/approximate way of filling up historical bond futures duration.

The proposal I have is - lets say for Mar 17 FV contract, I pick up the on-the-run for that day, calculate the duration and the CF and approximate the BF duration.

I know this is prone to errors , but can anyone suggest a better approximation? Note that it's impossible to get historical deliverable basket from exchange

Thanks, Sumit

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A better suggestion is to use the cheapest to deliver bond (CTD) of the deliverable basket rather than the On-the-run. The CTD is usually of shorter maturity than the on-the-run , so it will make a difference.

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  • $\begingroup$ Thanks. Except that for historical contracts, say the Mar 17, I don;t know how to get the Ctd bond. Are you suggesting I do a scan of all open bonds around that day to find the shortest maturity with "same" maturity year? $\endgroup$ – sumit_uk1 Dec 14 '17 at 12:35
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    $\begingroup$ @SumitSengupta It depends on what you're trying to do and how precise you need things to be. Just to give you a sense for how big the error might be using OTRs, here's a chart plotting FV duration against 5-year OTR duration over time: i.imgur.com/AUNrDHp.png $\endgroup$ – Helin Dec 14 '17 at 15:15
  • $\begingroup$ Thanks a lot. from your chart , it seems the error is pretty constant. Wonder if I can use this as an adjustment. $\endgroup$ – sumit_uk1 Dec 14 '17 at 16:34
  • $\begingroup$ @SumitSengupta It really is just not a great idea. Please also account for the fact that FV has a relatively narrow range of securities eligible for delivery. The errors will be much larger and more time varying for contracts such as TY and US. $\endgroup$ – Helin Dec 14 '17 at 20:18
  • $\begingroup$ Thanks Helin. Any alternates you can suggest how best to proxy historical Bond futures duration? I tried every source (including exchange) , but couldn't get hold of historical deliverable basket. Your help is greatly appreciated $\endgroup$ – sumit_uk1 Dec 17 '17 at 20:05

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