2s10s30s Butterfly

[j b]

Quote from Martinghoul:

One thing to be aware of is that the ZN CTD is, normally, a 7y maturity bond and ZB CTD is, normally, a 25y bond. Thus, using ZT-ZN-ZB, you'll be trading a 2s7s25s fly. Using the newer ultra-long contract will get you closer, i.e. allow you to construct a 2s7s30s fly.

This is probably a silly question, but does the FH function on bloomberg account for this when calculating the hedge ratios? I'm assuming yes...

 

[Martinghoul]

Quote from j b:
This is probably a silly question, but does the FH function on bloomberg account for this when calculating the hedge ratios? I'm assuming yes...

Yeah, fo' shizzle... That's not to say that it does everything 100% correctly, but mostly it's fine.