Bobl Future, Yield

[hiddy]

Hey

is there a way to calculate the implied yield from a bobl future?

thx

 

[Martinghoul]

Yes... Take the price of the futures, multiply by the conversion factor and use this price to obtain the fwd yield of the current CTD.

 

[hiddy]

thx for the quick reply

but where do i get the conversion factor, basically i just have the price of the future over a specific time period for my calculations.

 

[Martinghoul]

Look here for conversion factors:
http://www.eurexchange.com/trading/products/INT/FIX/FGBM_en.html?mode=deliverable_bonds

 

[chintanthakkar]

Quote from Martinghoul:

Look here for conversion factors:
http://www.eurexchange.com/trading/products/INT/FIX/FGBM_en.html?mode=deliverable_bonds

Could anyone tell me, what would futures price of a bond e.g. bobl multiplied by its conversion factor arrive at?

i.e. 117.130 * 0.912067 = 106.8304077

What does 106.8304077 represent/mean?

 

[Martinghoul]

Quote from chintanthakkar:

Could anyone tell me, what would futures price of a bond e.g. bobl multiplied by its conversion factor arrive at?

i.e. 117.130 * 0.912067 = 106.8304077

What does 106.8304077 represent/mean?

It's the fwd price (i.e. assuming settlement on 10-Jun-2010) of the Bund Jan15 bond, which is the current CTD for the Jun bobl contract.

 

[Bernard111]

Quote from Martinghoul:

It's the fwd price (i.e. assuming settlement on 10-Jun-2010) of the Bund Jan15 bond, which is the current CTD for the Jun bobl contract.

Great, now that we have the forward price, how can we obtain the yield, please?

 

[Martinghoul]

Quote from Bernard111:

Great, now that we have the forward price, how can we obtain the yield, please?

Well, that's just basic bond math, innit? Assuming you have Excel, you can use its handy YIELD function.