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1
vote
1answer
45 views

How do I calculate yield from a bond futures contract?

I would like to know how I can calculate the yield of a bond futures contract(say the 5 yr treasury "FVM05" is trading at 108.2)? I am not sure how to go about calculating the yield of the futures ...
-2
votes
1answer
59 views

what is the cost for rolling 5 year german future?

im looking at the bobl future for september and for december and see 1.8 basis points difference. i wanted to know why there is this gap? and if im holding a position in september and want to roll it ...
3
votes
3answers
105 views

Why is the spot price not used as the forward price when a forward contract is created?

If the initial value of a forward contract is zero, surely the forward price used would be the spot price at the time the contract was created? However, my notes tell me that the forward price F, at $...
3
votes
2answers
1k views

Why is “full” Yield Curve (term structure of interest rates) 3 component based?

I am trying to understand bond-valuation and construction of yield curve. I don't have any exposure to bootstrapping or what-so-ever as of now. So it's appreciated to have an example but not too ...
5
votes
1answer
299 views

Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?

I would like to model Korean government bond futures. So far I know two concepts (just a short, incomplete description) cash-settled futures (e.g. Australia): The average yield of a basket of bonds ...