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Chuck,
I got the following message from Pinnacle Data:
WE ROLLED INTO THE NEW 6% MARCH, 2000 BONDS/NOTES LAST NIGHT!
THE CBOT HAS DEVELOPED A CONVERSION ALGORITHM TO CONVERT OLD
8% BASIS PRICES TO 6% PRICES AND HAS PUBLISHED THE CLOSING PRICES
FOR BONDS AND NOTES. YOU CAN SEE THIS ALGORITHM AT:
www.cbot.com/ourproducts/financial/coupon.html
WE HAVE DOWNLOADED THEIR CALCULATED HISTORICAL 6% PRICES AND HAVE
USED THESE PRICES TO REVISE OUR CLC BONDS/NOTES 8% HISTORY FILES.
IF YOU WANT TO CONVERT YOUR HISTORICAL DATA (RECOMMENDED) TO 6%
EQUIVALENT PRICES, OR LEARN MORE ABOUT IT, GO TO OUR WEB SITE AT:
http://pinnacledata2.com/data/sys (use this EXACT PATH PLEASE!!!!)
Then download and run the file: 6PERCENT.EXE
I hope this helps ..... Marlowe
----- Original Message -----
From: <CRLeBeau@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, November 23, 1999 10:35 AM
Subject: Need 6% data in Bonds
> As you all know, they are switching the Bond futures to a 6% coupon
instead
> of the previous 8% that we have been trading.
>
> I would like to do some research to see if there might be any difference
in
> trading the new 6% coupon bonds. I once saw a chart that showed 6%
> historical price data plotted Vs the 8% bond data. Even though this data
was
> theoretical it might be helpful.
>
> Does anyone know where I might find data that was constructed by
converting
> the 8% prices to what they might have been on the 6% bonds? I just need
> historical end of day data. (I've got a call into the CBT and I'm waiting
to
> hear back.)
>
> As an alternative is there any simple way to convert my historical 8%
price
> data to what might accurately represent 6% data?
>
> Chuck LeBeau
>
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