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msb1974
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Posts: 2
Joined: May 24th, 2003, 7:14 am

Treasury Futures' BPV

October 18th, 2003, 2:46 pm

Could anyone explain me how to calculate BPV of Treasry Futures during trading days? I've read the article about that issue on the CBOT website.It said "By convention, the DV01 of a Treasury futures contract is the DV01 of the CTD issue divided by the conversion factor of the CTD issue". But I think that codition holds only on the delivery date of future contract, because on that date you can get exactly the amountthat is future Pirce multiplied by C.F. + accural in exchange for a CTD issue.Or we don't have to consider that small thing?Regards,MSB
 
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elan
Posts: 351
Joined: April 30th, 2003, 3:47 pm

Treasury Futures' BPV

October 18th, 2003, 4:37 pm

Being long a treasury futures contract you are short the delivery option. If you calculate your DVO1 as the DVO1 of the current CTD divided by the conversion factor, you disregard the DVO1 of that option. In other words, you appear to be longer than you actually are. Modelling the delivery option is fairly straightforward, and you can easily calculate its DVO1.
 
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msb1974
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Posts: 2
Joined: May 24th, 2003, 7:14 am

Treasury Futures' BPV

October 20th, 2003, 1:27 am

Hi, elan,Tks vm for ur advice. I'll check that out.
 
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Elwood3001
Posts: 11
Joined: November 14th, 2003, 5:27 pm

Treasury Futures' BPV

August 12th, 2004, 8:06 pm

Last edited by Elwood3001 on August 11th, 2004, 10:00 pm, edited 1 time in total.
 
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Gmike2000
Posts: 801
Joined: September 25th, 2003, 9:49 pm

Treasury Futures' BPV

August 13th, 2004, 9:09 am

Dont forget that it is actually "the dv01 of the ctd" purchased forward at the maturity date of the futures. So the futures DV01 is actually smaller than that of the ctd
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