Anyone know where I can get the Cheapest to Deliver cash bond information? Ideally I also want DV01's and conversion factors.
But, for the CTD bonds I only know Bloomberg and that is one expensive way of getting this info.
Any help appreciated, thanks
hi - bank trading desks have their own internal models. yes, some use bloomberg but bloombergs are on a subscription basis. what you're asking never came free to my knowledge.
the cbot and/or liffe had published a nice manual back in the 80s and 90s.. it was one of the first things that we were given when joining the govt bond desk at the bank. then we had to go build the bond pricer in excel.
you need to do it yourself buddy. it is the only way to become intimately familiar with bond math. i believe there may be pricers out there for sale but i would build my own.