At my firm, we use these futures to shift our position in money markets port. Does anybody know how to find the “cash equivalent” (I’m guessing PV01?) of a given number of contracts? Do I need the modified duration of the portfolio and futures to find out?
Joey, I’m not sure if I need that because it sounds like I use
0.25 / (Days left till next 3 mth T-bill auction.. ie starting from 98/365) * 1MM (nom value) * # of contracts… I hope I’m not making thigns up.
I think it’s used as a benchmark since 0.25 is supposed to be the quarter of the year (3 mth contracts). we use other indexes as benchmarks for other futures too (eg a bond index for bond futures). not sure why it is used though.
basically i’m trying to find out what our money markets portfolio is worth by taking our futures positions into account (short futures to decrease, long to increase).
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