Bond Futures Duration

Discussion in 'Financial Futures' started by landboy, Jan 30, 2006.

  1. landboy


    Okay, I must be asleep at the wheel, because I can't seem to calculate the duration on the TY (or ZN for the electronic)...

    C= I assume regular deliverable 4.5%, semi-annual
    n=10 dividend by 2
    Y= 6% as per contract spec
    P = 108.5 at today's price.

    Am I missing something?

  2. I think this is what you want:
    I believe you can simply ignore the price since that is built into the YTM (which is 4.5% vs the 6% coupon).
  3. Maybe this is the problem. I'm not sure what program/calculator you are using, but it is 10 years and 2 payments per year for a total of 20 payments.