im a little perplexed...i think you need to layout what kind of fixed income securities you are looking to capture p&l on before approaching this task. i assume this is academic/learning exercise?

in addition, under normal market circumstances - the ctd will be available for delivery (there have been instances where this was not the case), but since the vast majority of market participants will be rolling these contracts, the de facto ctd px/yld should be sufficient

the ctd ytm is straight forward as long as you are looking at generic bond futures. while the ctd can change during the life of the future, it will always be a known outstanding security and therefore analytics are readily available

are you looking for US govies/corp or global? if only US than a combo of bbg and idc should cover - if looking for other markets, please elaborate and i'll share what im familiar with

maybe ive lost the plot, but if you have reuters they produce this using ICAP data

a list from a sell side firm (typically your coverage) with a list of securities they will buy/sell at given price

<t>reuters does not support any strucutred product (including generic mbs) which is a major issue they are trying to deal with. the sole reason for having them is that market data is released about a minute before it hits your bbg (same goes for mkt rumors!)the real problem, as i see it, is that eve...