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

Nicole Seaman

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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: https://trtl.bz/2BqWfj4

 
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