How to find the DV01s for the Bunds (FGBL) against the US 10 Yr Treasuries Notes (ZN)

Discussion in 'Index Futures' started by spidermarn, Jan 3, 2012.

  1. How to find the DV01s for the Bunds (FGBL) against the US 10 Yr Treasuries Notes (ZN)

    Which program should i use?
     
  2. Dogfish

    Dogfish

    Use FRSK on Bloomberg terminal (same as DV01, BPV) is like 11 tics on this March Bund but don't quote me

    "A Guide to Duration, DV01, and Yield
    Curve Risk Transformations"
    http://www.closemountain.com/papers/risktransform1.pdf


    "Calculating the $ value of a basis point"
    http://www.cmegroup.com/trading/int...ulating_the_Dollar_Value_of_a_Basis_Point.pdf

    "A common misconception is that the DV01 of a Treasury security remains fixed as the yield of the instrument changes. In truth, the price-yield relationship of a Treasury security is nonlinear; as yields fluctuate, the DV01 of a Treasury security changes"
    http://www.cmegroup.com/trading/int...g_U.S.Treasury_Futures_Conversion_Factors.pdf
     
  3. bone

    bone ET Sponsor

    Don't fade that spread.

    BTW, look at the statistical correlation - it's complete shit, the Daily closing correlation is like in the low 64% last time I looked. And you won't get a SPAN margin credit on it either.
     
  4. haha - no correlation what so ever

    its 2 outrights

    you will killed by algos hunting you down