Discussion in 'Index Futures' started by hiddy, Mar 15, 2010.
is there a way to calculate the implied yield from a bobl future?
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.
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.
Look here for conversion factors:
Could anyone tell me, what would futures price of a bond e.g. bobl multiplied by its conversion factor arrive at?
i.e. 117.130 * 0.912067 = 106.8304077
What does 106.8304077 represent/mean?
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.
Great, now that we have the forward price, how can we obtain the yield, please?
Well, that's just basic bond math, innit? Assuming you have Excel, you can use its handy YIELD function.
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