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by equanimity
February 10th, 2018, 3:53 pm
Forum: General Forum
Topic: How to be duration and currency neutral when spreading intra-market bond futures?
Replies: 7
Views: 1001

Re: How to be duration and currency neutral when spreading intra-market bond futures?

If I want to be both duration and foreign exchange neutral only today , how many German 10-year bund futures would I need to sell for every  100 contracts  of U.S. 10-year that I bought?  What does that calculation look like?  Thanks. It looks like about 68 contracts to have the same $ duration exp...
by equanimity
February 8th, 2018, 6:16 pm
Forum: General Forum
Topic: How to be duration and currency neutral when spreading intra-market bond futures?
Replies: 7
Views: 1001

Re: How to be duration and currency neutral when spreading intra-market bond futures?

If I want to be both duration and foreign exchange neutral only today, how many German 10-year bund futures would I need to sell for every 100 contracts of U.S. 10-year that I bought?  What does that calculation look like?  Thanks.
by equanimity
February 8th, 2018, 12:26 pm
Forum: General Forum
Topic: How to be duration and currency neutral when spreading intra-market bond futures?
Replies: 7
Views: 1001

Re: How to be duration and currency neutral when spreading intra-market bond futures?

I'd like to be duration neutral at all times from today up to delivery.  Though, in all likelihood, the spread position would be closed before we reach the delivery month (which in this case is March 2018).
by equanimity
February 7th, 2018, 3:18 pm
Forum: General Forum
Topic: How to be duration and currency neutral when spreading intra-market bond futures?
Replies: 7
Views: 1001

How to be duration and currency neutral when spreading intra-market bond futures?

I'd like to spread U.S. 10-year note futures vs. German 10-year bund futures? Let's assume the following: For the U.S. 10-year note future:  - cheapest to deliver:  2.25%  15-Nov-2024  - PV01 of CTD:  $620.10  - conversion factor of CTD:  0.8006  - price of CTD:  95.23 For the German 10-year bund fu...
by equanimity
August 16th, 2017, 8:19 pm
Forum: General Forum
Topic: Excel function to compute the yield of Italian Government Bonds
Replies: 11
Views: 1214

Re: Excel function to compute the yield of Italian Government Bonds

Yes, it's the difference between the Street Yield and the True Yield.
by equanimity
August 16th, 2017, 6:14 pm
Forum: General Forum
Topic: Excel function to compute the yield of Italian Government Bonds
Replies: 11
Views: 1214

Re: Excel function to compute the yield of Italian Government Bonds

Yes, the day count is Act/Act according to Bloomberg.
by equanimity
August 16th, 2017, 4:09 pm
Forum: General Forum
Topic: Excel function to compute the yield of Italian Government Bonds
Replies: 11
Views: 1214

Re: Excel function to compute the yield of Italian Government Bonds

DavidJN - I don't believe it's the accrued interest.  When I set the settlement date to September 1, 2017 (which is a coupon payment date) and apply the following formula: =((1+(YIELD(DATE(2017,9,1), DATE(2028,9,1), 0.0475, 102.1277994 , 100, 2, 1) /2)) ^2) -1 I get a yield of 4.5532798%, whereas Bl...
by equanimity
August 16th, 2017, 3:23 pm
Forum: General Forum
Topic: Excel function to compute the yield of Italian Government Bonds
Replies: 11
Views: 1214

Re: Excel function to compute the yield of Italian Government Bonds

DavidJN - yes, that helps.  I see that on my side as well.  Unfortunately, I'm trying to back into a rate of 4.5524% that I'm seeing on Bloomberg.  We're off slightly.  Perhaps it's the 1 day of accrued interest?
by equanimity
August 16th, 2017, 1:37 pm
Forum: General Forum
Topic: Excel function to compute the yield of Italian Government Bonds
Replies: 11
Views: 1214

Re: Excel function to compute the yield of Italian Government Bonds

Thanks, Hydraskull.  The YIELD() function in Excel takes the following arguments: =YIELD(settlement_date, maturity_date, coupon, price, redemption, frequency, basis) If we assume the following data: Settlement Date:  11-September-2017 Maturity Date:  01-September-2028 Coupon:  4.75% Price:  102.1277...
by equanimity
August 16th, 2017, 3:29 am
Forum: General Forum
Topic: Excel function to compute the yield of Italian Government Bonds
Replies: 11
Views: 1214

Excel function to compute the yield of Italian Government Bonds

We can use the YIELD() function in Excel to compute the yield of most government bonds.  One exception is Italian Government Bonds (BTPs).   I suspect the reason that the YIELD() function doesn't match Bloomberg is because Italian Government bonds have special pricing conventions.  In particular, yi...
by equanimity
August 3rd, 2017, 4:56 pm
Forum: Trading Forum
Topic: Trading the Implied Repo Rate
Replies: 2
Views: 1152

Trading the Implied Repo Rate

As many of us probably know, the implied repo rate is used to determine the Cheapest-to-Deliver security into a futures contract.  But, is it possible to actually trade the implied repo rate such that you trade the cash bond and the futures contract (without actually executing the legs)?  Thanks!
by equanimity
June 6th, 2017, 5:57 pm
Forum: Trading Forum
Topic: General Collateral
Replies: 1
Views: 1113

General Collateral

Is there such a thing as "sector GC"?  If so, how does that differ from "GC" and "GC baskets"?  Thanks!
by equanimity
May 18th, 2017, 1:00 pm
Forum: Trading Forum
Topic: How to Finance the Purchase of a Forward Bond Settlement?
Replies: 7
Views: 1556

Re: How to Finance the Purchase of a Forward Bond Settlement?

@Martinghoul - when you say " You can do a fwd repo or you can wait until time T.", do you mean the following? a) do a forward repo:   today , we trade a repo from day 29 to day 30 (assuming day 30 is the settlement date of the bonds) b) wait until time T:   at day 29 , trade an overnight repo from ...
by equanimity
May 17th, 2017, 6:38 pm
Forum: Trading Forum
Topic: How to Finance the Purchase of a Forward Bond Settlement?
Replies: 7
Views: 1556

Re: How to Finance the Purchase of a Forward Bond Settlement?

@ekeenan81 - Let's just assume that it's a forward settlement date.  I have nothing in the portfolio and I buy a U.S. Treasury note today for settlement 30 days from now.  I will owe money to someone 30 days from now, right?  So, if that's the case, do I have a choice of the following? a) 30-day ter...
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