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Its like trying to price futures from any cash contract as it relates to
futures. It really can't be done to any degree of a calculable standard,
although its used as a standard to measure the relationship between cash
and futures and futures relationship to the real world. Sounds like
Clinton's answer doesn't it.......LOL
Robert
At 02:44 PM 10/5/98 -0500, Stewart Taylor wrote:
>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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