I want to go long bei by going long individual 10 year tips and short individual 10 year treasuries. How do I calculate and match the duration?
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"In order to setup a breakeven trade, one needs to make an assumption about the beta between real yields and nominal yields. Typically investors assume a beta of 1 however this could be changed based on historical relationships. In a breakeven trade with an assumed beta of 1, the risk weights are a function of the relative DV01 of the linker and nominal comparator bond" - JPM Inflation Linked Markets Guide 2017
My guess is most people would not "calculate" duration (or DV01) but rather just pull it up on Bloomberg or Eikon.
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$\begingroup$ unfortunately i dont have access to either $\endgroup$ Sep 16, 2021 at 15:04
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$\begingroup$ DV01s for OTRs here: cmegroup.com/tools-information/quikstrike/… $\endgroup$ Sep 16, 2021 at 17:10