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hoangvu90

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tT
发表于 2011-7-13 13:18 | 只看该作者

T-bill futures??? Derivatives section

cannot, appear, included, either
Is this part of the curriculum? It has been included in Schweser notes but I cannot find it in the CFAI textbook (besides Optional section)!

It doesn't appear to be in the study sessions either.
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Otabek

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2#
发表于 2011-7-13 13:18 | 只看该作者
Yes, do the CFA EOC's. You will run across it

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MiniMe7

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3#
发表于 2011-7-13 13:18 | 只看该作者
Its the same equation as pricing a futures contract just divide by a conversion factor.

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huangxiaoxie

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4#
发表于 2011-7-13 13:18 | 只看该作者
There is a conversion factor for T-Bond (not Bill) futures since the seller can deliver the cheapest available bond (aka cheapest to deliver).

NO EXCUSES

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neil1234

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5#
发表于 2011-7-13 13:18 | 只看该作者
I was being diplomatic in my response above, having spent a few years as a US govvie mkt maker/book runner at a NY primary dealer bank, I am not too bad at the bill/bond/futures/basis lark!

We do need to correct these things quickly, so that some poor soul doesn't take the info into their already overloaded memory bank, ahead of the big day.

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SeanWest

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6#
发表于 2011-7-13 13:18 | 只看该作者
Just want to make sure the terminology right.

T-bill --> maturity less than one year. No conversion.


T notes --> maturity 1-10 years --> conversion.

T bonds --> maturity 10+ years --> conversion.

The CTD conversion factor, however, is normally referred to the classic 30 year T bonds futures, although it exists for 2,3, 5, 10 as well as ultra bonds.

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