I thought you plugged in 6 percent for the coupon rate? http://www.cbot.com/cbot/pub/cont_detail/0,3206,1526+14431,00.html "The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent."
My understanding is that the 6% quoted on CBOT is not the coupon being used to calculate the actual real world current yield: http://www.bloomberg.com/markets/rates/index.html
TBT was discussed earlier... excellent correlation with the long ETF. Not always the case with long and ultrashort ETFs. This is from mid Aug 08 -- present BTW. <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2230672>
Do you mean that Final_Dec_4 file is not correct and refers to a 20Y?! :eek: actually it shows a 'US Treasury Bond Futures contract' under the Price-to-Yield Table'.
There's the rub - how much time? If Japan is the model, it could be years and years and years. Last time I looked Japanese 30yr yield was flirting with a 2-handle.