<t>Hi I am looking at curve trading in 5y and 10yr maturity - effectively looking at steepner sell 5yr protection buy 10yr protection.... assuming dv01 neutral positions this would be on a notional around -15 x 10MM.Based on durations of where the 5y and 10yr should trade, I can calculate how steep ...

<t>Ok nothing to do with finance - but is an entertaining puzzle for those who care:A person is stranded in an island (assume to be at the centre of a circle) surrounded by water. On land surrounding this pool of water is a goblin who can run 4 times faster than i can swim. What is the best possible...

<t>Ok nothing to do with finance - but is an entertaining puzzle for those who care:A person is stranded in an island (assume to be at the centre of a circle) surrounded by water. On land surrounding this pool of water is a goblin who can run 4 times faster than i can swim. What is the best possible...

ok so how would you calculate this definitively? (in the latter case of out of sync spreads?)

ok so how would you calculate this definitively? (in the latter case of out of sync spreads?)

Yes, say i buy 10MM of a bond at price XXX (or z-spread YYY) and buy protection at e.g. 45bp etc... thanks.

Hi, after a formula for calculating the return on capital for a basis trade?i.e. i buy bonds and buy protection (including repo costs).Thanks.Tan!

Yes thats correct - wanted to calculate number of contracts...- thanks i got it! cheers

Yes thats correct - wanted to calculate number of contracts...- thanks i got it! cheers

If I have bought say 6MM bonds of duration 2 and i hedge out the IR risk via selling short gilts, contract size 500,000 tick size 1250. How many contracts would i need to sell in total for each strip? please explain ... thanks... my DV01 of bond is straightforward (1200)...