Recent content by Brackers27

Thanks Marthinghoul, I'll check that book out

Hi Martinghoul, yes still seeking answers. My main goal is to predict what my losses or gains are likely to be given a certain interest rate change but I think I'm right in saying that it is impossible to predict my P&L in the future accurately because it will depend on an unknown forward...

Hi Martinghoul. I have 2 quick questions if you don't mind. Firstly is it ok to estimate the spot yields to delivery date from the treasury yield curve? Assuming this is ok, I have calculated a difference of about 23BPS in forward yields between June 7th and July 23rd and my losses were...

I think that should help alright, I know that equality alright, would have surely used the wrong input figures though. Thanks again Martin :)

Very informative thanks. So I could use: (1) the 2 year forward curve and the points 3 and 4 months out to estimate? (2) Ideally I would compare the implied repo rate of CTD to delivery date? (3) or use the spot yield and 3m and 6m bill yields for both dates? I like your quick n dirty method...

So what you're saying is, not only am I losing on yield changes in the underlying CTD (18BPs), I'm also making losses on the difference between the June 7th yield 4 months forward and today's yield 3 month's forward? Also you are estimating it by looking at the difference in yield between the 3...

Hi Martinghoul I was thinking that convexity wouldn't explain it. How does the carry/roll affect the futures price?

Hi I was hoping someone might be able to explain why my losses are greater than I had expected given the yield move. I got short 2 Year Treasury futures on June 7th at a price of 109-025. Today the future is trading at 109-175. Thus I have losses of 15 ticks or $937.50. I think the cheapest to...

Cools. Thanks a million, I really appreciate all the help. :D

Where are these rates published? Sorry I've searched but to no avail! :confused:

Well that's good, at least I know LIBOR is not right, I figured as much. Where would I find the term repo rate??

Actually if I use the CTD you suggest and use the 12 month Treasury rate of 0.28 instead of 1 year LIBOR (1.14%) as the risk free rate the theoretical price is close to the actual price. I thought I should use LIBOR as the risk free rate but maybe not. Apologies for the repeated messages!

Thanks, I'm sure you're correct so I'd just like to identify whatever mistake I'm making so it wont happen again.

Sorry Scose no doubt for not getting back to you sooner but looks like Martinghoul has answered all your queries:)

Hi Martinghoul Thanks for all the replies. By the way I've included an Excel attachment of my CTD calculation. I'm not arguing with your BBG but I'm still coming up with the same CTD the 0.625. Maybe you might identify where I'm messing up Thanks Brackers27