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It's been awhile since Ive done it, but even for this you will need the
cheapest to deliver, it's price, its coupon rate and it's maturity. As far
as I know there is no way to equate a futures price alone to it's yield.
But, it wouldn't be the first time when I've wrong... but I don't think
that I am.
If I remember correctly, the conversion factor allow for a variety of
coupons to be converted to an equivalent amount of cheapest to deliver so
that the delivery equation can be solved for.
At 03:34 PM 10/5/98 -0400, richard tobiassen wrote:
>hi,
>if you have a hewlett packard 19b.......the function is in there.......
>if you are doing this a lot............a monroe bond calculator........
>the formula is in the book"yield curve analysis"
>cbot has a little book conversion factors.publication 765,revised which might
>be of use...
>call the cbot at 800 the-cbot....or 312-4353558
>good trading
>rich t
>
>Yuri K wrote:
>
>> >Jay,
>> >
>> >There really isn't a way. There is a cheapest to delivered bond that can
>> >be used, but since a variety of securities can be delivered the futures
>> >price alone isn't enough.
>> >
>> >At 12:44 PM 10/5/98 -0600, Jay Becker wrote:
>> >>Does anyone know the formula to calculate the yeild, on the 30 yr bond,
>> >>based on the trading price?
>> >>
>> >>Jay Becker
>> >>
>> >>
>> >Stewart Taylor
>> >Taylor Fixed Income Outlook
>> >Voice: 501-219-9774
>> >Fax: 501-228-0963
>> >E-Mail: staylor@xxxxxxx
>> >Web Site: http://www.cei.net/~staylor/
>>
>> Really, what about the spread between actual and implied yield then?
>
>
>
>
Stewart Taylor
Taylor Fixed Income Outlook
Voice: 501-219-9774
Fax: 501-228-0963
E-Mail: staylor@xxxxxxx
Web Site: http://www.cei.net/~staylor/
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