Dollar Duration

[psahni]

Hi
Please tell me, which of the formulaes mentioned below are correct:-
Dollar Duration (futures) = Dollar Duration (CTD) / conversion factor
Duration (futures) = Duration (CTD) / conversion factor
Duration (futures) = Duration (CTD)
I am very confused with this session, please help !

 

[rahuls]

Dollar Duration (futures) = Dollar Duration (CTD) / conversion factor is correct

 

[psahni]

thanks, Do you think the mentioned should also be correct ?
Duration (futures) = Duration (CTD)
I think this should also be correct, thot not sure and confirming !

 

[janakisri]

” thanks, Do you think the mentioned should also be correct ?
Duration (futures) = Duration (CTD)
I think this should also be correct, thot not sure and confirming !”
for coversion factor=1 , sure , it is the same

 

[psahni]

After giving some more thought, i concluded
Dollar Duration (futures) = Dollar Duration (CTD) / conversion factor
Duration (futures) * Price (futures) = {Duration (CTD) * Price (CTD)} / conversion factor
because - Price (futures) = Price (CTD) / conversion factor
hence Duration (futures) should equals Duration (CTD)
Please correct, If I am going wrong !!!

 

[BBUI]

You still have the CF as a multiplier there.

 

[psahni]

Hi
Price (futures) = Price (CTD) / conversion factor, CF has been already taken care of !