T-bill futures??? Derivatives section cannot, appear, included, either

hoangvu90

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.

Otabek

Yes, do the CFA EOC's. You will run across it

MiniMe7

Its the same equation as pricing a futures contract just divide by a conversion factor.

huangxiaoxie

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

neil1234

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.

SeanWest

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.