Short term U.S. T-Note Futures Yield

Discussion in 'Financial Futures' started by fclover, Dec 16, 2009.

  1. fclover


    Hi everyone,

    Just wondering, how can I calculate yield values for, say, 2 Year T-Note Futures?

    There is a contract specification on CME, but nothing about yield model to be used.

    Or may be someone translate already calculated yield values?

    Just to make sure: I have an algorithm to calculate yield for underlying bond, but I guess it can't be used for futures.

    Thank you
  2. You can, but there are alot of variables as far as what you wish to use as your basis (cheapest to deliver, on the run, a weighted avg of all available, etc). If you have xtrader, talk to your fcm about their trading in yield functionality.

    cme provides a treasuries conversion factor worksheet on their website. you'll need that as well as the conversion factor justfies trailing and partial interest payments.