n******y
发帖数: 192 | 1 How to compute 10 Yr Treasury note future with delivery date 8/31/20008
Hull's book: F=(S-I)*EXP(r*T)
How can I use the formula?
Known:
7/9/2008
10 Yr Treasure Note price = 100.375
10 Yr Treasure Note is semiannual coupon at 6%. Next pmt is $6 at 12/31/2008
interest rate:
3 Mon 1.82%
6 Mon 2.05%
let me know if you need other data. Thanks
The actual price at 7/9/2008 for 10 Yr Treasury note future is 115.5156. Much higher than the results from the formula.
my calculation is around 102. why thi |
n*****r
发帖数: 159 | 2 there is no way a 6.0% coupon 10yr note priced at 100.375.
The current 10yr yield is around 3.80%. Roughly a 6% coupon 10-yr note
should be priced slightly lower than 100+2.2 X (8yr duration) = 117.6
2008
【在 n******y 的大作中提到】
: How to compute 10 Yr Treasury note future with delivery date 8/31/20008
: Hull's book: F=(S-I)*EXP(r*T)
: How can I use the formula?
: Known:
: 7/9/2008
: 10 Yr Treasure Note price = 100.375
: 10 Yr Treasure Note is semiannual coupon at 6%. Next pmt is $6 at 12/31/2008
: interest rate:
: 3 Mon 1.82%
: 6 Mon 2.05%
|
n******y
发帖数: 192 | 3 I just checked the coupon, it should be 3.875% for 10 yr treasury note.
why 100+2.2 X (8yr duration) = 117.6?
why notF=(S-I)*EXP(r*T)?
for the future price |
n*****r
发帖数: 159 | 4 The future is quoted against 6.0% 10yr bond, which may not exist at all.
So when you see 3.875% 10yr is quoted at 100.375, you need to multiply a
conversion factor to get the price for a 6.0% 10yr. There is a standard way
to get the factor, (6-3.875)* 7(because 7 is the duration for 10yr) is just
a rough estimate
【在 n******y 的大作中提到】
: I just checked the coupon, it should be 3.875% for 10 yr treasury note.
: why 100+2.2 X (8yr duration) = 117.6?
: why notF=(S-I)*EXP(r*T)?
: for the future price
|
