Bobl Future, Yield

Discussion in 'Index Futures' started by hiddy, Mar 15, 2010.

  1. hiddy



    is there a way to calculate the implied yield from a bobl future?

  2. Yes... Take the price of the futures, multiply by the conversion factor and use this price to obtain the fwd yield of the current CTD.
  3. hiddy


    thx for the quick reply

    but where do i get the conversion factor, basically i just have the price of the future over a specific time period for my calculations.
  4. It's the fwd price (i.e. assuming settlement on 10-Jun-2010) of the Bund Jan15 bond, which is the current CTD for the Jun bobl contract.
  5. Great, now that we have the forward price, how can we obtain the yield, please?
  6. Well, that's just basic bond math, innit? Assuming you have Excel, you can use its handy YIELD function.