Hi, David or anyone here: I have a question on Treasury Future contract's DV01. Below is how I get the DV01, please have a look: 1. FuturePrice * Conversion Factor + net Basis = Forward Bond Price 2. Forward Bond here can be considered Cheapest to Delivery 3. So, if Net Basis is close You can also calculate the dollar value of a basis point (the DV01) for the Treasury futures contract, by taking the DV01 for the CTD bond, and dividing it by the appropriate CBOT factor. In this 1. For the Dec bund contract I see 10.325 (136.075 ref price) 2. There's smth on the Eurex website that describes this procedure (attached), but the idea is simple. You take your CTD whose fwd price out of delivery date is implied by the price of the futures. Given this price you obtain fwd yield. Bump the yield to get the DV01. Accordingly, to increase portfolio DV01 by one third, the T-Bond futures overlay should be: In the same way, to obtain appropriate scale for a Treasury Bond futures overlay, first find the number of Treasury Bond futures that would replicate the portfolio DV01. With the T-Bond futures DV01 at $137.54 per basis point, the result is: For example, if I have a German Bund maturing in ten years with a DV01 of 100 which I hedge with German Bund futures which also have a DV01 of 100, how might I calculate the basis risk between these two instruments. Any references would also be appreciated.
You can also calculate the dollar value of a basis point (the DV01) for the Treasury futures contract, by taking the DV01 for the CTD bond, and dividing it by the appropriate CBOT factor. In this 1. For the Dec bund contract I see 10.325 (136.075 ref price) 2. There's smth on the Eurex website that describes this procedure (attached), but the idea is simple. You take your CTD whose fwd price out of delivery date is implied by the price of the futures. Given this price you obtain fwd yield. Bump the yield to get the DV01. Accordingly, to increase portfolio DV01 by one third, the T-Bond futures overlay should be: In the same way, to obtain appropriate scale for a Treasury Bond futures overlay, first find the number of Treasury Bond futures that would replicate the portfolio DV01. With the T-Bond futures DV01 at $137.54 per basis point, the result is:
A DV01 Futures Contract is a cash-settled futures contract tied to the risk of 2y, 5y, 10y and 30y U.S. Treasury Securities. The 10y contract is priced at 100 Hi, David or anyone here: I have a question on Treasury Future contract's DV01. Below is how I get the DV01, please have a look: 1. FuturePrice * Conversion Factor + net Basis = Forward Bond Price 2. Forward Bond here can be considered Cheapest to Delivery 3. So, if Net Basis is close You can also calculate the dollar value of a basis point (the DV01) for the Treasury futures contract, by taking the DV01 for the CTD bond, and dividing it by the appropriate CBOT factor. In this
1. For the Dec bund contract I see 10.325 (136.075 ref price) 2. There's smth on the Eurex website that describes this procedure (attached), but the idea is simple. You take your CTD whose fwd price out of delivery date is implied by the price of the futures. Given this price you obtain fwd yield. Bump the yield to get the DV01.
Bond Futures. The 10yr Bund Future on Eurex – mechanics and settlement; Conversion factors, implied repo, and the CTD; Basis trading; Bond futures DV01 most popular government bond futures contract, delivery, and pricing. This chapter wishing to hedge their cash Bund position by selling futures. The 1988 Apr 25, 2018 in the bond market just made a massive bet ($4.7MM DV01) that the sell 65,362 German bobl futures (5-year); buy 29,145 German bund