I'm doing a study at Rutgers on the TUT spread. The TUT spread is composed of 2 2-year treasuries and 1 10-year treasury per spread. I was trying to estimate the historical volatility of the spread, and only have historical volatility of each product individually.
Would the spread volatility just be the sum of the spread's components (ie. 10 year treasury has 3% historical volatility and 2 year treasury has 4% volatility, each spread volatility would be 3%+3%+4%?) not accounting for correlation
Also would the contract multiplier be calculated in the same way (10 year future $100,000 + $200,000 + $200,000?