Bund T-note spread

Y

Ye Olde Refco

Does anyone know how to chart the Bund vs. T-note (ZN) spread (or have links to other discussions)?

NOT THE HEDGE RATIO!!

I am currently using CQG and use the yield function instead of price.

When back testing various trades, 1bp move in the spread show varying $ values. More than I would expect despite the changing DV01s for each contract (the hedge ratios don't massively change day in day out).

Would love any insight.
 
Quote from Ye Olde Refco:

Does anyone know how to chart the Bund vs. T-note (ZN) spread (or have links to other discussions)?

NOT THE HEDGE RATIO!!

I am currently using CQG and use the yield function instead of price.

When back testing various trades, 1bp move in the spread show varying $ values. More than I would expect despite the changing DV01s for each contract (the hedge ratios don't massively change day in day out).

Would love any insight.
More...

try this, but tweak it for the ZT in front, and change the hedge ratio as well.

(sharescale((FilterTickBATE(DLZ,1)-(0.7650*FilterTickBATE(DBZ,1))),integ
er1)*32),1

i will look for the ZT/Bund (i no longer use CQG)
 
You must log in or register to reply here.
Back
Top