Dirty Price of US Treasury, page 80, Study Notes, Hull Ch 6 - Interest rate futures

[Dr. Jayanthi Sankaran]

Hi David,

In your study notes as referenced above, I don't understand how you get Years from last coupon = 2.5 years in your example.

Would be grateful if you would elaborate

Thanks!
Jayanthi

 

[David Harper CFA FRM]

Hi @Jayanthi Sankaran This is an awkward label. It represents the "Years from Last Coupon" to maturity, which is 2.5 years from last coupon of 1/01/2013 to maturity of 7/01/2016. It is the term input into the price (at last coupon) of $109.43, so it's really the term at maturity at the time of the last coupon. I hope that explains!