What's new


  1. Nicole Seaman

    YouTube T3-26: US T-bond futures cheapest to deliver

    Among the T-bonds available for delivery (the short position is given a choice in order to avoid a liquidity squeeze on a single bond), the cheapest to deliver (CTD) bond minimizes the net cost. David's XLS is here: https://trtl.bz/2N9tnx4
  2. Nicole Seaman

    YouTube T3-25: US T-bond futures conversion factor

    The US T-bond futures contract conversion factor (CF) basically: 1. Rounds the maturity DOWN to the nearest 3 months (0.25 years), 2. Obtains the Quoted (aka, clean, flat) price, and 3. Assumes a flat 6.0% yield curve. T3-25: US T-bond futures conversion factor David's XLS is here...
  3. Nicole Seaman

    P1.T4.900. Discount function and the Law of One Price (Tuckman, Ch.1)

    Learning objectives: Define discount factor and use a discount function to compute present and future values. Define the “law of one price,” explain it using an arbitrage argument, and describe how it can be applied to bond pricing. Identify the components of a US Treasury coupon bond, and...
  4. Nicole Seaman

    P1.T3.719. Quoted versus cash bond prices (Hull Chapter 6)

    Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...
  5. G


    In reference to R19.P1.T3.FIN_PRODS_HULL_Ch6_Topic: DAY_COUNT_CONVENTIONS :- Hi, I was revisiting this topic and have some questions on the example illustrated below. We are using the Day Count Convention= Actual/Actual. The Days Since is shown to be 54 between Jan1, 2012 & Mar 5, 2012. 2012 is...