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5 votes

Estimating the price of an illiquid 5y bond futures contract

That is not a lot of information and is certainly not enough to do this with sufficient accuracy for trading, but none-the-less we can do the exercise. Information I will assume that you also know ...
Attack68's user avatar
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0 votes

Regression swap vs bond future

You can proxy the dv01 of a bond fut as dv01 of ctd / CF of ctd. Fancier if dv01 of fwd ctd (as of delivery) / CF. Given your question, I'd assume you aren't thinking about switch options etc.
user68819's user avatar
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