If the the duration of a 10yr future is roughly 8 years, I simplistically think that if I go long 10% notional of my portfolio and yields rise 10bps, then my P&L is 8 x -10bps x 10% = -8 bps
In this context, what is the duration of a Eurodollar future ? Is it 1 or is it 0.25?
So, if i am long 10% notional in 10yr futures and short 10% notional in ED futures, what is the net duration of this structure ? I would have thought it's 8 - 0.25 = 7.75. So, if the yield curve rose 10bps in a parallel shift up, I would lose 7.75 bps
However, when I look at the ED future, I understand it's priced as 100 - annualised 3mth, so that means that every 1bps move in yield gives me roughly a 1bps move in price, which means the duration ( % change in price / change in yields ) is 1 and not 0.25 ?