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Bund DV01
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Created: by trentcroad Attachments:0

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Bund DV01

  #1 (permalink)
Trading for Fun
Sydney, Australia
 
Futures Experience: Advanced
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Posts: 78 since May 2012
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Bund DV01

Hey Guys

Just wondering if anyone knows a site (or maybe on Eurex somewhere) that shows the DV01 for the bund?

Cheers

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Berlin, Germany
 
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Hey,


The Bund future is closely tracking the price of the Cheapest to deliver bond (arbitrage) which is the bond that will be probably delivererd into the future. So you have to identify the CTD of the Bund, calculate its DV01 in order to calculate the DV01 of the Bund future:

Bund future DV01 = CTD DV01 / conversion factor


You can find the current Bund CTDs with the respective conversion factors on the Eurex site: Eurex - Deliverable Bonds and Conversion Factors
The DV01 of the CTD can be calculated with a simple bond calculator: http://www.investopedia.com/calculator/bondprice.aspx

Once you have the conversion factor and the CTDs DV01 you can derive the Bund DV01:

Bund DV01 of ca. 12 ticks = CTD DV01 8- 9 ticks / 0.7 conversion factor]


Last edited by Tellur; May 13th, 2014 at 09:01 AM.
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  #4 (permalink)
Trading for Fun
Sydney, Australia
 
Futures Experience: Advanced
Platform: Xtrader
Favorite Futures: Commodities
 
Posts: 78 since May 2012
Thanks: 31 given, 101 received

Thanks so much for this Tellur.

This is exactly what I was searching for.

I really appreciate your time.

Cheers

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