Hot answers tagged


Not sure what you mean by pricing this trade since the price of a future is given by the exchange. You can get bond futures data for free from CME (TU is the symbol for the 2y and WN for the 30y). I’ll assume you’re asking about weighting the legs. There are many ways to do it but here are some common ones: Equal weights: +1 on TU and -1 on WN. This is the ...

Only top voted, non community-wiki answers of a minimum length are eligible