The equation is simply the yield of the CTD, using the delivery px implied by the current futures px (delivery px = futures px * conversion factor). I don't know a place that shows you the UST fwd curve (consturcting a bond fwd curve is not a trivial exercise). However, you can see the daily closing spot yields here: http://www.federalreserve.gov/releases/h15/update/
What do you think of what Trichet said? Is he trying to give the market reasons to lower the yield so that borrowing costs are lower? Is he desperate because he knows he cannot lower interest rates? What if the market forces him?
algo design kid I said this because the 10/30 or NOB is too far out get short 10's and long 30's coming off today to about 94.90 bp y'all can get cash yields on CQG if you pay up for ICAP (Brokertech) or BGC (Espeed) feed is it another $195 a month or if you can see cash but lot of people can not...you can get a ten minute delay on Bloomberg
Someone doing some big flattening-like trades today... Outright 2yr, as well as 10yr vs ultra-bond in proper chunky size.
Can you dumb it down for me a bit? My thinking (which could be flawed) is that you should be buying the 10 Year Note and Selling 30 Year Bond. I am saying this because by looking at it historically from my POV (which could be flawed of course) is that the factor between the 10 Year Note and 30 Year Bond is too high and it needs to come back closer to 1:1. Perhaps I will post my chart showing this - give me a little bit and I will. That was also with information up to 6/30 only.
OK Here is one of my charts. Basically just showing the factorial the 30 Year > 10 Year Note. That is if I have all my data correct etc. Like I said I just pulled it randomly from the web so it could be erroneous. So, by looking at this, to me personally it seems like you want to be short 30 Year Bond and be Long 10 Year Note. Dumb,Smart,Data totally incorrect? - Just looking for opinions
cant answer your question everyone has a different risk parameter and time horizon, here is link to rates http://noir.bloomberg.com/markets/rates/index.html