Re: 6% data in Bonds - effect

["Gary Fritz" <fritz@xxxxxxxx>]

Robert Bianchi <R.Bianchi@xxxxxxxxx> wrote:
> The bottom line in moving to the 6% coupon bond futures will show a
> small effect on the historical data based on the RELATIVE VALUE
> movement between the 8% and the 6% bond in historical terms. This
> is because the 6% coupon bond has a longer duration (i.e. interst
> rate risk) than the 8% coupon.  Normally, these 2 bonds would trade
> up and down tick for tick apart from the following conditions: 

Thanks, Robert.  Tick for tick, eh?  Does that mean that I could 
merge 8% data and 6% data just by adding/subtracting the difference 
between the two?  Would that be "close enough" for any practical 
purposes?

That would be a lot more attractive to me than complex multiplicative 
factors.  In addition to being simpler, it would also maintain the 
even tick values of the old data.

Thanks!
Gary