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.作者: Otabek 时间: 2011-7-13 13:18
Yes, do the CFA EOC's. You will run across it作者: MiniMe7 时间: 2011-7-13 13:18
Its the same equation as pricing a futures contract just divide by a conversion factor.作者: huangxiaoxie 时间: 2011-7-13 13:18
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作者: neil1234 时间: 2011-7-13 13:18
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.作者: SeanWest 时间: 2011-7-13 13:18
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.
