Bond Futures
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04.08.2021
Co-author
Affiliation
BMO
Main category
Social Sciences (Economics)
Abstract
A bond future is a future contract in which the asset for delivery is a government bond. Any government bonds that meet the maturity specification of a future contract are eligible for delivery. All eligible delivery bonds construct the delivery basket where each bond has its own conversion factor. Conversion factors are used to equalise the coupon and accrued interest differences of all the deliverable bonds.
Further information
Further reading
https://bitbucket.org/cmrm11/fibondfuture/downloads/FiBondFuture-11.pdf
Language
English
DOI
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