Intuition and reasoning behind conversion factor calculation for bond futures - Quantitative Finance Stack Exchange
𝐄𝐟𝐟𝐢𝐜𝐢𝐞𝐧𝐭 𝐌𝐚𝐫𝐤𝐞𝐭 𝐇𝐲𝐩𝐞 on Twitter: "So in simple terms, the implied repo rate is the implied money market return from a cash and carry trade. And for a treasury futures seller, that
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Calculation of the conversion factor for a bond
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Lecture 11. Topics Pricing Delivery Complications for both Multiple assets can be delivered on the same contract…unlike commodities The deliverable. - ppt download
𝐄𝐟𝐟𝐢𝐜𝐢𝐞𝐧𝐭 𝐌𝐚𝐫𝐤𝐞𝐭 𝐇𝐲𝐩𝐞 on Twitter: "The CTD's risk value of 6.976 is then divided by the conversion factor 0.8338 to arrive at 8.367 which is the price risk of the future based
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