Questions tagged [bond-futures]
The bond-futures tag has no usage guidance.
0
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0answers
28 views
QuantLib FuturesRateHelper how do I input Future type = 'ASX', the 'IMM' date check is causing Runtime Error
How do I input Future type = 'ASX', the 'IMM' date check is causing Runtime Error
future_maturities
1 2019-06-14
2 2019-09-13
3 2019-12-13
4 2020-03-13
5 2020-06-12
6 2020-09-11
...
2
votes
2answers
52 views
How can we compute the daily drop in gross basis?
Background
The implied repo rate (IRR) is essentially the carry for going long basis (buying the deliverable bond and selling the futures contract). For this reason, it rises in value day-by-day as ...
4
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0answers
49 views
What are the trade offs when choosing a long term bond future to trade?
It seems that when trading long term bonds *** and choosing between the two offerings on CME one is presented with a Scylla and Charybdis decision.
1. VOLATILITY CONSISTENCY: Ultra U.S. Treasury Bond ...
3
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4answers
327 views
Bond ETF vs Bond Future for longer term holding
How would a long term investor go about evaluating the prospect of investing in a bond ETF vs a long position in a future of equal duration?
Let’s asume this investment is in a taxable account.
Let’s ...
3
votes
1answer
58 views
How can I approximate the hedge ratio for Inter Commodity Treasury Spreads?
Looking at the excellent CME Treasury Analytics tool, I can see that the hedge ratio for spreads betweend diff treasury futures is derived from the DV01 of each leg.
I can get treasury futures data ...
2
votes
3answers
161 views
How does one price the market value and estimate the fair value of a bond futures roll?
Consider the current situation: we are entering December, meaning that the December futures are being rolled into the March futures (i.e. traders are selling their holdings of December futures ...
1
vote
1answer
97 views
Intuition and reasoning behind conversion factor calculation for bond futures
I am currently reading the chapter on bond futures from J.C. Hull. The author states the procedure for calculating conversion factor as
The conversion factor for a bond is set equal to the quoted ...
0
votes
1answer
156 views
Why do Treasury Futures settle at maturity with higher yield-to-maturity than the corresponding spot rate? [duplicate]
Absolute beginner on bonds, trying to understand why spot rates seen for US-T don't seem to line up with CME futures for ZT/ZB/etc at their maturity.
For instance, ZB-U8 seemed to settle at 140-27 on ...
0
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0answers
64 views
repo rate v.s. reverse repo rate
from a book, I read that repo rate is usually higher than reverse repo rate. i.e., the rate to financing a long security position is higher than the rate to lend cash using securities as collateral.
...
0
votes
1answer
79 views
what is the underling of treasury bond future contracts? and what determine/drives bond future's theoretical/market prices? [duplicate]
Am I right that the underlying is a basket of deliverable bonds?
If this is the case, how is the bond future prices actually determined?
If there was only one bond in the deliverable set, the bond ...
3
votes
1answer
567 views
DV01 of bond future from DV01 of CTD
Is there a way to compute the DV01 of a bond future, from it's underlying cheapest to deliver bond's DV01?
For example, is this correct? :
DV01 future = DV01 CTD / conversion factor?
Or any other ...
2
votes
1answer
84 views
How do you calculate or estimate the future gross basis of a treasury future?
Gross Basis for treasury futures = clean price - future price* conversion factor
Is there a way to estimate the gross basis, say 10 days from now, given that you know what the forward bond price is?
...
1
vote
1answer
123 views
get base asset price for bond future
Is it possible to obtain the base asset price (underlying price) for futures using the first and second periods future.
like let's say we have $ FGBL_1 $ first future and $FGBL_2$ second future.
$ ...
0
votes
1answer
87 views
At what time (BST) are interest rate futures settled daily on Eurex Exchange?
ie, what is the earliest time can I expect to see settle prices for all interest rate futures (ie, BUXL future, GILT future) on Eurex exchange? Is it 15:00 local time just like it is on CME ?
1
vote
1answer
79 views
option on bond future - any caplet representation out there ?
I'm trying to play with bond-future options. Bond future is a future contract on a basket of bonds. The short-side will deliver the so-called bond cheapest-to-deliver (CTD).
A bond-future option is ...
1
vote
4answers
298 views
Treasury futures basis & calendar spd [multiple questions]
How do I determine if a bond will become CTD in a futures contract and how likely there a CTD switch is?
Also, how do you use implied repo/actual repo to assess richness/cheapness of two calendar ...
2
votes
2answers
2k views
Determine the carry of a treasury bond futures contract?
Hi fellow financial market enthusiasts. I'm trying to understand my options as a retail investor. I want to leverage a cash bond portfolio but my broker does not allow that, so I want to use futures ...
0
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1answer
62 views
Proxying historical bond futures duration
I am trying to come up with a very simple/approximate way of filling up historical bond futures duration.
The proposal I have is - lets say for Mar 17 FV contract, I pick up the on-the-run for that ...
5
votes
4answers
2k views
What are some of the best textbooks on Fixed Income securities?
I'm looking for something that might be considered the 'Bible' of fixed income.
Ideally it would contain everything from the basics of PV and discounting cash flows all the way up to some of the most ...
0
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0answers
83 views
Bond ETF Options and Forwards
As far as I understand, a bond forward has an important role to play in pricing a call option on a bond.
However, say we have a bond ETF and an option on that ETF. How do we price the option without ...
2
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0answers
65 views
'Market price' based Delta vs 'Model Price' based Delta for Bond Future Options?
My understanding of Delta is the change in the Option's price relative to the change in the underlying asset's price.
In the case of Treasury Future Options (ie those on CME), one intuitive way to ...
2
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1answer
1k views
Modified duration of treasury futures tracking CTD?
If I know TYU7 contract's CTD is T 2.500 05/15/2024 with modified duration of 6.37. I know futures DV01 is calculated by taking the CTD's DV01 divided by conversion factor as shown here. What is the ...
2
votes
2answers
1k views
“Forward price of bond” VS “Price of a bond with a future settlement date”
What is the difference between
1) computing the 'forward price' of a bond at a future time T. ( spot price - carry, involving repo rates)
2) computing the price of a bond (discounting all cash ...
4
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2answers
4k views
How to calculate the daily carry on a bond future?
I have been calculating daily carry on a normal bond as the difference in yields from one day to the next (roll down basically), interpolating the yield on one day, and interpolating it for the ...
2
votes
3answers
955 views
Why repo goes negative for bonds trading special
Please help me find the fault in my reasoning!
It seems to me that when a bond is trading special , it is in short supply and high demand , and so excessive number of people are borrowing money to ...
0
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1answer
119 views
Textbook for US Treasury Bond / Notes Futures
Is the text The Treasury Bond Basis by Burghardt still the authoritative source on this topic? The most recent edition was published in 2005. I think that, based on the contents and others' ...
1
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2answers
85 views
Unemployment data and bond futures
All other things being equal, why would rising unemployment data lead to (a trend) of increasing bond futures?
Is the line of thinking that bond futures prices have the same relationship with ...
4
votes
1answer
1k views
How to compute the yield on the Ultra-Bond Treasury Futures
I am trying to compute the yield on the Ultra-Bond Treasury Futures which is roughly 172.2187.
Heres the description of the contract:
U.S. Treasury bonds with remaining term to maturity of not ...
5
votes
2answers
260 views
Principal components in treasuries: spot vs futures
I'm looking to use first few principal components of the US treasury yields for trading, and have choice of using either the data for treasuries themselves, or for the corresponding futures contracts. ...
1
vote
3answers
120 views
What is an estimated rise in the interest rate of the 10-year Treasury in this scenario?
Suppose that the Federal Reserve had raised interest rate by 0.25% last week 17Sep2015. What is an estimated rise in the interest rise of the 10-year Treasury? Which futures contract should one use to ...
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1answer
268 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 ...
1
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0answers
38 views
Historical UK Gilt 2-year and 5-year data
Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
11
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1answer
1k views
Pricing Treasury futures
I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...
5
votes
1answer
833 views
Why is two-factor model so popular for bond futures?
Given that which bond in the basket becomes CTD depends massively on idiosyncratic moves among different bonds, should we not be always using N factor model instead of 2 Factor model?
By using only ...
4
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1answer
17k views
Conversion factor for bonds
Hull defines the conversion factor for a bond as the "quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the interest rate for all ...
4
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2answers
2k 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 ...
6
votes
1answer
841 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 ...
