Bond: Adjusting Target Duration conversion, between, factor, income

John10

Comrades,

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.

nannan66

if given, do apply

ohai

Oh found out that if DDctd is given, we apply CTD.

Roflnadal

And Yield Beta

NO EXCUSES