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No real formula. This is a guesstimate based on rough estimate of eight
basis points per point. The proper computation is to come up with a
target date and a futures price and then use the CBOT adjustment factors
to find the price for the CTD and compute YTM that way. Steve Poser
"Dennis L. Conn" wrote:
>
> What's the formula to determine the exact rate?
>
> ----- Original Message -----
> From: swp <swp@xxxxxxxxxx>
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Sent: Monday, May 17, 1999 18:39
> Subject: Re: Interest rates?
>
> > Assuming away basis changes and no change in CTD, 115-06 would be around
> > 6.10% and 112-18 about 6.30%
> >
> > Ira wrote:
> > >
> > > What would be the interest rate if the June bond went to 115-06?
> > > What would it be at 112-18? Ira
> >
> > --
> > Steven W. Poser, President
> > Poser Global Market Strategies Inc.
> > http://www.poserglobal.com
> >
> > Tel: 201-995-0845
> > Fax: 201-995-0846
> > Email: swp@xxxxxxxxxxxxxxx
--
Steven W. Poser, President
Poser Global Market Strategies Inc.
http://www.poserglobal.com
Tel: 201-995-0845
Fax: 201-995-0846
Email: swp@xxxxxxxxxxxxxxx
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