New answers tagged futures
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Conversion Factor Weighted or Dv01 Weighted Treasury Futures Hedge
It is the same thing because by definition the DV01 of the futures is = DV01-of-CTD / CF
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How is yield calculated for a portfolio?
I buy the argument from @nbbo2 that futures change DV01 but not yield (although you might need to think a bit about the margin; that's something I know nothing about but it always seems to be ...
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How is yield calculated for a portfolio?
Bond Futures in a Bond Portfolio do not contribute to yield, they are there to modify (increase or decrease) Duration (or DV01 if you prefer). In my opinion they could be left out of the calculation ...
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How is yield calculated for a portfolio?
Once you have the YTM for each bond, calculate the weighted average yield based on the proportion of each bond’s market value relative to the total market value of all bonds in the portfolio.
$...
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Why do people speak of yields on bond futures when their expected return is 0?
The "yield" on a Bond Futures trade is based on the yield of the underlying bond that you get (or would get for cash settlement), accounting for conversion factors and other characteristics ...
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How to Delta Hedge with Futures?
I am facing the same question and I feel what Wa tries to do is to replicate an option using futures. On a theoretical basis, entering futures costs nothing. Therefore, if BS model says, Option value/...
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US Treasury Futures Wildcard Option
Excercising your wildcard option involves you buying or selling the "tail" of your basis position in the market (tail = (1-CF) bonds).
When the CF > 1 you are usually holding too many ...
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