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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.
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9 cze 2024 · The conversion factor is used to equalize coupon and accrued interest differences of all delivery bonds. The accrued interest is the interest accumulated and yet to be paid.
Every cash note or bond that is eligible for delivery into a Treasury futures contract has a conversion factor that reflects its coupon and remaining time to maturity as of a specific delivery month. A conversion factor is the approximate decimal price at which $1 par of a security would trade if it had a six percent yield-to-maturity.
Every cash note or bond that is eligible for delivery into a Treasury futures contract has a conversion factor that reflects its coupon and remaining time to maturity as of a specific delivery month. A conversion factor is the approximate decimal price at which $1 par of a security would trade if it had a six percent yield-to-maturity.
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.
Factor Rate: The rate stipulated by the exchange specific to each future contract type to be used in conversion factor calculation. For example, all U.S. Treasury futures have a factor rate of six. Conversion Factor (CF): The conversion factor for a bond is set equal to the quoted price bond would have per dollar of
