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CME provides a spreadsheet that you can use to compute the exact conversion factor for each bond and each contract (http://www.cmegroup.com/trading/interest-rates/us-treasury-futures-conversion-factor-calculator.html). The main reason for the discrepancy comes from rounding of term to maturity.
19 sty 2024 · Each cash note or bond eligible for delivery into a Treasury futures contract is assigned a conversion factor, which considers its coupon and the time remaining until maturity as of a specific delivery month.
31 sie 2024 · CTD = Current Bond Price – Settlement Price x Conversion Factor. The current bond price is determined based on the current market price with any interest due to a total. Additionally, the...
Guide to What are Bond Futures. Here we explain the concept with examples, how they work, conversion factors, and deriving cheapest delivery.
Treasury Bond Futures and the Quality Option. The seller has the option to deliver any bond with at least 15 years to call or maturity. Each deliverable bond has a publicized conversion factor equal to the price of $1 par of the bond at a yield of 6%.
3 sie 2019 · Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty price for a US Treasury bond; calculate the accrued interest and dirty price on a US Treasury bond. Explain and calculate a US Treasury bond futures contract conversion factor.
11 lis 2024 · With this calculator, you can calculate the conversion factor of a bond. The conversion factor is a key element in hedge calculations and, more generally, in the analysis of all market operations including bonds and futures.