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Heidi:
If your data provider won't make the adjustment, a simple (though not
necessarily easy) solution is to subtract the price spread from all pre-6%
coupon prices. This is not precise because there is greater price
volatility in a 6%-coupon bond than an 8%, but it's a close approximation.
The Excel gurus here could probably offer some suggestions on the mechanics
of the back adjustment. I expect you would have to re-do the adjustment any
time you rebuild your continuous contract.
For a data provider to not properly adjust their continuous contracts is
foolish and irresponsible. If you are not satisfied with an approximation
or you need more precise data, Pinnacle Data made the precise adjustments to
their continuous bond contracts.
----- Original Message -----
From: Heidi Stubner <stubner@xxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: January 5, 2000 08:42
Subject: Futures Contracts
I'm going to throw out a question which I hope some of you can provide
feedback.
Half way through December, the TBond Futures Contract was adjusted from
about 112 to 95 (or 8% to 6% coupon). The continuous or perpetual futures
contracts we all use for technical analysis shows a big gap (112 to 95).
How have you adjusted the series to permit the application of technical
analysis? Is the adjusted continuous contract for the 30 year, 10 year
available? Where?
Dial/Data informed me this week they would not adjust their historical
pricing. Why? They didn't say. Probably because they can't figure out
how. Just a theory. I know that many of you have different vendors.
Maybe it would be possible for someone to send me the data - going as far
back as possible.
Or if there is someone knowledgeable about how to adjust the data manually,
I would appreciate that information as well.
Thank you.
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