When do we apply a conversion factor (CTD) to the formula? Apparently, there is some discrepancies between Fixed Income Portfolio Management -II and Risk-Mgmt Application of forwards and futures.
Risk Mgmt
No of contracts = (MDt - MDp)/MDf *Vp/(Pf x multiplier)
Fixed income
No. of contracts =(DDt - DDp)/DDf *Vp/(Pf x multiplier) * CTD.
Help.作者: nannan66 时间: 2011-7-13 16:24
if given, do apply作者: ohai 时间: 2011-7-13 16:24
Oh found out that if DDctd is given, we apply CTD.作者: Roflnadal 时间: 2011-7-13 16:24
