The price of bond futures can be calculated on the expiry date as: Price = (bond futures price x conversion factor) + accrued interest. How Bond Futures Work · Managing a Bond Futures...

Discover a streamlined approach to trading interest rate markets with Yield futures, contracts based directly on yields of the most recently auctioned Treasury ...

futures-expiry. The futures price of a bond is the bond's current spot price plus the cost of carry necessary to hold the bond to the future delivery date.

BOND FUTURES: DESCRIPTION AND PRICING. OPENGAMMA QUANTITATIVE RESEARCH. Abstract. The descriptions of standard bond futures in major currencies are provided.

Discover a streamlined approach to trading interest rate markets with Yield futures, contracts based directly on yields of the most recently auctioned Treasury ...

The 3-month interest rate is at 1.68%. AI is coupon rate of a bond during the Futures holding period.

Bond Future Valuation · The key for pricing a bond future is to compute the forward bond price. · The forward clean bond price is equal to the forward price of ...

Find the latest 30-Year T-Bond prices and 30-Year T-Bond futures quotes for all active contracts below. Intraday, End-of-Day. Main View, Technical, Performance ...

As rates rise, the futures price starts tracking a high duration bond. This switching of the underlying asset gives the futures price negative convexity.

A bond future is a contractual obligation for the contract holder to buy or sell a bond on a specified date at a predetermined price.