Quoted Futures Price

Discussion in 'P1.T3. Financial Markets & Products (30%)' started by ajsa, Sep 27, 2009.

  1. ajsa

    ajsa New Member

    Hi David,

    QFP = (Cash Futures Price - Accrued Interest) /( Conversion Factor)

    How is AI is calculated? Is it just the the accured from now to the next cpn date? what about the coupons after next coupon date and before the futures maturity date?

    Thanks.

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