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Sure, no probs... Just wanna make sure we're on the same page first. 3 ZTH4 vs 2 EDH5?

What are the Eurodollar contracts you're using exactly?

Yeah, so this guy is describing what is very much a strategy for locals. If you wanna talk to peeps who do this stuff, there's a PROPboards chatroom, where there's a bunch of guys doing this type of stuff. I am there, as well, even though it's not what I do. Yes, once you do the work once...

What you'll have in the quick 'n dirty case is some bucket risk. Most of the time it's not that significant, but there could be circumstances where you could lose money or make less than you should. Again key is to be aware of the trade off and make an informed decision. If you wanna talk...

I don't quite get how ZH knows that these loans are funding "liberal educations". Would be interested to see if there's any statistics for smth like that...

Yeah, if you think about it, it's roughly in line with the example sizes I have given, i.e. 1570 or so Eurodollar contracts for 1000 2yr notes. The multiplier is just giving you the rough total, right? So, like in my example, they just suggest that you take, say, 300 ED contracts for 200 2yr...

Yes, being short Eurodollars vs one of the other two curves should work in a 2007-08 style blowup. You just need to be aware of the other factors that move these spreads. As to longer term views, lemme give you an example. One of the more interesting things happening in US rates right now...

This is yet another flavor and another curve that sits somewhere between the Eurodollars and Treasuries. So you have three curves to play with, rather than 2. Sweet, innit? :) I am not suggesting you should trade FedFunds instead of t-bills, necessarily, although, like Mav says, you...

FedFund futures Here: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund_quotes_globex.html

Yes, correct. It's always "divide-and-conquer". So for the purposes of the exercise above, you ignore the trsy-LIBOR spread risk. Assume it doesn't move during all the "bumping". This way you can produce, first and foremost, bucket risk for a portfolio of both trsy and LIBOR products like...

Dec13 is just the first contract. You repeat the process for every single other contract in exactly the same way. Sorry, I should have mentioned this explicitly, but I somehow skipped it.

No, no, that would be a very different kettle of fish indeed. You do nothing to the rest of the curve. So as a specific (and simplified) example, let's say the PV of your position with the original mkt curve is X. The original curve uses, say, 99.76 for the price of the Z3 contract...

Yes, parallel shifts are easy... The "bumping" is done by moving a single curve input (such as one specific Eurodollar contract) by 1bp up (and down), while keeping everything else unchanged, and then rebuilding the curve. You then compute the PNL on your position that resulted from the...

Trade it yourself w/your own capital. Don't quit your day job, like the other peeps said. Anything else just wouldn't make a lot of sense.

Right, this is where it gets a little complicated... Basically, the only thing that measures like BPV (and DV01) tell you is the total interest rate risk on your position. The meaning of these measures is that they tell you what your expected PNL will be when/if the whole interest rate curve...

I agree... You should ask about commissions, margins and all the other stuff. Depending on how frequently you trade, commissions might matter less than margins and vice versa. Could be that the only viable trades you can realistically do in this space are longer-term macro ones. It all...

Not off the top of my head, tbh... I can find out what I get, but you really probably need to speak to your broker. There can be all sorts of complicated arrangements. Like Soon2 said, "innit" is a commonly used British version of "isn't it". Like "kinell", it's just what we Brits say.

Well, there's some netting between ED and treasury fut contracts, which would make things easier. But, other than that, margin's what you gots to pay to play, innit?

I think short yen is a better trade than NIkkei, personally... I am thinking of NOKJPY again, because of the horrendous beating that NOK has suffered of late.

Right, let's look at a specific example... If I buy a clip of ZT TED (I call it TUTED, since TU is the BBG ticker) today. In order to do it correctly(ish), I would do the following: Long 1000 Dec13 2y note futures Short 222 Dec13 Eurodollar Short 221 Mar14 Eurodollar Short 221 Jun14...