Can you explain this further? How would futures time series between a 10 year and 30 year for example help me find the net basis between the 10 yr current futures and the cash bond that is CTD... ? Also.. remember.. net basis... not gross basis.
Calendar spread not between 10 and 30, but I mean 10 yr future 3 month vs 6 month to delivery.
If you regard the cash bond as a futures with 0 time to maturity, then calendar spread is an approx to a forward basis. Probably not good enough for your purposes I guess.
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.