Learning about spreads, bonds, etc., and have access to a bloomberg terminal but no help otherwise.
I can see there are TONS of possible values and they're all slightly different and cannot figure out what's the appropriate duration...
just to name a few: DUR_ADJ_MID, RISK_MID, SW_EQV_MOD_DUR ,FUT_EQV_DUR_NOTL
and so on.... forever.
If I want to look at rate futures spread how much of an impact does getting the duration slightly wrong matter for spreads? and in what situations?
I can see that cash bonds and futures have different reference points so how does this affect being in the spreads?
I can see there are TONS of possible values and they're all slightly different and cannot figure out what's the appropriate duration...
just to name a few: DUR_ADJ_MID, RISK_MID, SW_EQV_MOD_DUR ,FUT_EQV_DUR_NOTL
and so on.... forever.
If I want to look at rate futures spread how much of an impact does getting the duration slightly wrong matter for spreads? and in what situations?
I can see that cash bonds and futures have different reference points so how does this affect being in the spreads?