I am trying to using TSY futures to get an implied price for a basket of bonds. From what I have gathered so far, the futures contracts closely follow the cheapest to deliver bond (which can be arrived from the eligible bonds). Also, the conversion factor So this is what I have though of;1. Use the globex futures, when the cash market is closed, to figure out, how much yields have changed overnight based off the prices, and then use the modified yield curve to price other bonds.2. Or simply, look regress the yield changes of each bond against the CTD bond, to think of it as a beta equivalent of stock index.Thanks,nem3sis

1. should be ok provided that you believe that curve moves in parallel

QuoteOriginally posted by: daveangel1. should be ok provided that you believe that curve moves in parallelHi Dave, Thanks, I dont have much experience with these instruments, and am reviewing historical data now for better understanding. Would this assumption work for intraday hedges in most of the times?Thanks,Chandan

QuoteOriginally posted by: nayakchandanQuoteOriginally posted by: daveangel1. should be ok provided that you believe that curve moves in parallelHi Dave, Thanks, I dont have much experience with these instruments, and am reviewing historical data now for better understanding. Would this assumption work for intraday hedges in most of the times?Thanks,Chandanshould do - except for when it doesn't. Proabably need more information to be more helpful.

Yes, as dave says, this shortcut works most of the time, until one day it doesn't work in the most spectacular fashion...