us-treasury-bond

Among the T-bonds available for delivery (the short position is given a choice in order to avoid a liquidity squeeze on a single bond), the cheapest to deliver (CTD) bond minimizes the net cost. David's XLS is here: https://www.dropbox.com/s/0145of75vjwhb8c/082218-tbond-ctd.xlsx

The US T-bond futures contract conversion factor (CF) basically: 1. Rounds the maturity DOWN to the nearest 3 months (0.25 years), 2. Obtains the Quoted (aka, clean, flat) price, and 3. Assumes a flat 6.0% yield curve. T3-25: US T-bond futures conversion factor David's XLS is here...

In reference to R19.P1.T3.FIN_PRODS_HULL_Ch6_Topic: DAY_COUNT_CONVENTIONS :- Hi, I was revisiting this topic and have some questions on the example illustrated below. We are using the Day Count Convention= Actual/Actual. The Days Since is shown to be 54 between Jan1, 2012 & Mar 5, 2012. 2012 is...