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Thanks Tom that cleared up the deal for me.
Robert
At 09:19 AM 10/6/98 -0500, Tom Rehberger wrote:
>What you are speaking of is the basis, the difference between the cash and
>futures price. An interesting note is that the cash govies are traded in
>yield and the futures are traded in price. there is no yield on the futures
>so the futures uses a calculation that approximates the yield based on the
>cheapest to deliver. The cheapest to deliver is usually a 20 year (or less)
>so the futures really approximates a 20 for the 30 year futures and so with
>the 10 yr. and 5 yr. futures, etc. The cash guys trade yield because its
>the only way to compare apples to apples for one coupon to the next. Trading
>the basis is really trading the yield curve due to the difference in
>maturity.
>
>ex 5 yr basis trader,
>tom
>
>-----Original Message-----
>From: Yuri K <ure1@xxxxxxxxxxx>
>To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
>Date: Monday, October 05, 1998 2:24 PM
>Subject: Re: How to calculate Bond Yields
>
>
>>>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?
>
>
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