Just want to confirm - Gross Basis for Bond A, deliverable into a Future:
Gross Basis [A] = Clean Price [A] - Futures Price x CF [A]
where CF [A] = Conversion factor of Bond A.
Is this due to: Gross Basis [A] = Dirty Price [A] - Invoice Price [A]
Where: Dirty Price [A] = Clean Price [A] + Acc Int [from last coupon to now]
Invoice Price [A] = Future Price [A] x CF [A] + Acc Int [from last coupon to now]
simplifying =>
Gross Basis [A] = Clean Price [A] - Futures Price x CF [A]
Thanks
