首页 | 学习中心 | 注册 登录
返回列表 发帖
bingbingliang

Rank: 2

UID
217796 
帖子
311 
主题
159 
注册时间
2011-5-24 
最后登录
2012-9-12 
1# 跳转到 »
发表于 2011-7-11 19:37 | 只看该作者
You multiply by 1/CF, which is the same as dividing by it.

TOP

BelalM

Rank: 2

UID
223453 
帖子
304 
主题
8 
注册时间
2011-7-11 
最后登录
2016-4-19 
2#
发表于 2011-7-11 19:37 | 只看该作者
When you sign up for a futures contract on a bond - you have a particular bond to be delivered in mind. But if multiple folks try to look at the same bond for a delivery option -> you are going to have a mispricing scenario - more demand for the same bond.

to prevent this from happening - the "seller" can use any of a series of bonds to deliver. They use a Conversion factor - to decide how much of the bond they would deliver.

"true" Delivery Bond is assumed as being a 6% Coupon Bond delivered at Par. Now if you deliver a bond with a 7% Coupon - your price will be higher. So you would have a Conversion Factor > 1 = and you therefore (as seller) have to deliver less of the bond.

CP

TOP

Sunshine4ever

Rank: 2

UID
223386 
帖子
313 
主题
69 
注册时间
2011-7-11 
最后登录
2016-4-19 
3# 倒序看帖
打印
tT
发表于 2011-7-11 19:37 | 只看该作者

conversion factor for bonds

remember, where, factor, conversion, interest
Some where, I remember we divide by the conversion factor, but now I see in the interest rate futures section, we multiply by the conversion factor to get the bond price....what's the deal here?
收藏 分享

ayaz_mahmud369

Rank: 2

UID
223412 
帖子
334 
主题
15 
注册时间
2011-7-11 
最后登录
2014-8-7 
4#
发表于 2011-7-11 19:37 | 只看该作者
I do not have the book with me right now ... but once I get back - I too will check...

CP

TOP

返回列表