How can I use bond futures and IR swap futures to replicate a certain high yield index?

tough journey ahead...

You can't. Even if you exactlty match the duration using futures (use PCA weighted 2-10-30 to replicate full curve sensitivity) you are left with credit spread volatility. You could use swapnote futures, or just swaps, to offset that effect a little bit, but since you are trying to replicate HY that will not help you very much. You need something that is highly correlated to HY spreads. This could be the itraxx crossover for EUR spreads or the CDX equivalent for US spreads. If you set up a replicating portfolio using futures and itraxx xover contracts, you can somewhat track a HY index, but still it will not be perfect depending on the difference in the names between xover and your HY index. This could be a good exercise to do on a spreadsheet. Try to match the HY index duration using futures (use Tnote or Bund), and match the spread duration using itraxx or cdx. Do it on a monthly basis over the past 2 yrs and then see what the tracking error would be. I guesstimate it to still be around 80bps p.a. This is why you need an active HY manager with lots of credit research support...

Thanks GMikeI will try it