Does anyone know where to find the DV01s for the Eurex/Liffe interest rate products? I'd like to look at spreading 2/5/10 year Treasury notes against Schatz/Bobl/Bund or US NOB vs Bund/Buxl or TUT vs Schatz/Bund? Thanks in advance for your help!
Although you can get complicated about this, the most straightforward to get DV01 for a fixed income futures contract is the following: DV01_futures = DV01_ctd / conversion_factor So, you need to know the current cheapest-to-deliver issue for the contract. Find the DV01 of that note/bond. then take that and multiply it by the conversion factor of the note/bond for that contract. When I had a bloomberg all this information was readily available, but I'm not sure if it is available otherwise. The other thing you can do is regress daily 10-year yields against daily changes in futures prices. The beta from the regression will give you your futures DV01.
These may be wrong now, but here. As of July 2015: EUROS. You must Convert to dollars Schatz: 21.70 Bobl: 57.65 Bund: 122.97 Buxl: 246.072
Thanks everyone for the feedback. I was able to find the conversion factors for each product, but not the CTD DV01s. That might be something only available on a Bloomberg terminal. I'm also wondering if I can find the clearing / margins for the spread products and work backward from there.