Bund DV01

May 13th, 2014, 05:18 AM

Hey Guys

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

Cheers

May 13th, 2014, 07:07 AM

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: https://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]

May 13th, 2014, 07:14 PM

Thanks so much for this Tellur.

This is exactly what I was searching for.

I really appreciate your time.

Cheers

Bund DV01

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Bund DV01