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