Bund DV01 - Bonds and Interest Rates Trading | futures io social day trading

Bund DV01
 Updated: May 13th, 2014 (08:14 PM) Views / Replies: 3,402 / 3 Created: May 13th, 2014 (06:18 AM) by trentcroad Attachments: 0

 Welcome to futures io.

Bund DV01

 May 13th, 2014, 06:18 AM #1 (permalink) Trading for Fun Sydney, Australia   Futures Experience: Advanced Platform: Xtrader Favorite Futures: Commodities   Posts: 78 since May 2012 Thanks: 31 given, 101 received Bund DV01 Hey Guys Just wondering if anyone knows a site (or maybe on Eurex somewhere) that shows the DV01 for the bund? Cheers
 The following user says Thank You to trentcroad for this post:

 May 13th, 2014, 06:18 AM #2 (permalink) Quick Summary Quick Summary Post Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 May 13th, 2014, 08:07 AM #3 (permalink) Elite Member Berlin, Germany   Futures Experience: Beginner Platform: SC Favorite Futures: FGBL   Posts: 19 since Jan 2014 Thanks: 70 given, 45 received 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 it´s DV01 in order to calculate the DV01 of the Bund future: Bund future DV01 = CTD DV01 / conversion factor You can find the current Bund CTD´s 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 CTD´s 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.
 The following 5 users say Thank You to Tellur for this post:

 May 13th, 2014, 08:14 PM #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
 The following user says Thank You to trentcroad for this post:

Upcoming Webinars and Events (4:30PM ET unless noted)

Elite only

Elite only

January

Ran Aroussi: TBA

Elite only

 Similar Threads Thread Thread Starter Forum Replies Last Post isildur1 Bonds and Interest Rates Trading 34 October 13th, 2017 10:25 AM FGBL07 Bonds and Interest Rates Trading 866 January 1st, 2015 04:14 PM Yuri57 Reviews of Brokers and Data Feeds 16 March 15th, 2013 12:00 PM Quick Summary News and Current Events 0 November 9th, 2011 10:10 AM jeffbg123 Traders Hideout 3 May 30th, 2010 01:20 PM

All times are GMT -4. The time now is 04:04 PM.

 Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io All information is for educational use only and is not investment advice.There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-12 in 0.07 seconds with 19 queries on phoenix via your IP 54.163.210.170