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To: IceShark who wrote (7214)9/29/1998 7:39:00 PM
From: Joseph G.  Read Replies (1) | Respond to of 86076
 
The "Fed model" is very simple, you can do it on 1/4 of back of envelope (Yardeny has it on his site). I bet they put in the 1999 estimate that's 15% over this year ... GIGO

Further, how do we know that the 10Y paper is not bid up by short covering of all these funds - and in fact, we do know that it is bid up by them ... they shorted a good chunk of the total outstanding ...



To: IceShark who wrote (7214)9/30/1998 8:06:00 AM
From: Defrocked  Read Replies (1) | Respond to of 86076
 
Fair Value calculation from yesterday's close.(Source:Bloomberg)

Cash 1049.02
Futures 1057.50
RF rate 5.31%
Days 79
Dividend 3.54
Dvd.Yld. 1.54%

Theor.Future 1057.61
Fair Value 8.59