US treasury DV01

iporingzhiming

Newbie
1 0
Hi traders!!!

I am new to interest rate futures. I wanted to test out a DV01 strategy where I use the correlation to trade. I decided to make my own spread sheet to calculate the DV01 for 10 year and 30 years. But I could not find the coupon rate online, is there a fixed coupon rate? The CME website DV01 duration calculation seems to be having some problems and the price is not updated. How do you guys calculate the DV01?

Best regards

ZM
 

SlowlyButSurely

Well-known member
324 38
The coupon rate is the yield the bond paid on its issue date. So to calculate the coupon rate you will need to find the yield and price of the 10yr and 30yr. Your best bet is to check the CME website for the contract details you want to trade (ZN/ZB) and calculate it from there.
 
 
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