All Questions
13
questions
1
vote
0
answers
42
views
How to value 3mo SOFR Spreads one year out, 2yr out
How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
- 11
1
vote
1
answer
345
views
How to calculate returns for interest rate futures
Say we have the active German government bond future, RXH3 and we wanted to calculate a series of returns for the active contract.
Would we calculate returns on the daily price difference? And if so, ...
- 59
0
votes
1
answer
460
views
what is the rationale behind CTD (Cheapest to Deliver) mechanism in bond futures
why doesn't futures contract just stipulate a specific contract to be delivered. Is it because the futures seller cannot readily buy specific bond contracts?
- 21
0
votes
1
answer
84
views
Short Eurodollar futures front v back month
What is the difference between shorting the front month, rolling it into a back month vs just shorting the back month?
For example: shorting the front month and rolling the short every 3 months until ...
- 23
-1
votes
1
answer
205
views
Synthetic bonds with FX futures
FX futures price in the interest rate of different currencies, so can you use US treasury bonds (for example /zn) and FX futures (for example SGX USD/CNH FX Future) to create a synthetic bond of a ...
- 23
1
vote
4
answers
400
views
US Treasury - IEF vs ZN Cumulated Return Comparison
I have been trying to explore the possibility of replacing my IEF (10 years treasury ETF) positions with ZN (10 years treasury futures) for better leverage.
Reading the posts here, I understand that ...
- 15
2
votes
1
answer
451
views
understanding carry for Fixed Income Securities in Pedersen
I'm following the famous paper Carry of Pedersen et al. I have a particular question about the section Global Fixed Income Carry.
My main questions are around equation 15. They define Carry as
$$C_t:=\...
- 157
2
votes
2
answers
168
views
Convention for computing returns on bond futures
From the CME website, we know that the contract unit for bond futures is "face value at maturity of $100,000".
Which of the following is more appropriate the convention to compute "...
- 187
2
votes
3
answers
2k
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 ...
- 439
1
vote
2
answers
995
views
why the implied repo rate is higher when choosing the last delivery date to deliver rather than first delivery date
there must be something very basic that I did not get....
I am reading a book. And it says the implied repo rate is defined as IRR = ( invoice price / cash bond price - 1) * 360/ n, where is the ...
- 734
1
vote
1
answer
692
views
Calculation of Bond Carry from Synthetic future prices
I have only government bond yields with different maturities. How can I obtain sythetic future prices on bonds? After obtained the future prices, I am supposed to compute the return and carry returns.
- 23
12
votes
1
answer
3k
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 ...
- 1,484
9
votes
1
answer
1k
views
Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ...
- 2,108