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how do I convert t-bond yields into a price
- Thread starter Poole
- Start date
Quote from Surdo:
So you are SHORTING the 30 YR and expect it to go to 133?
That is interesting logic.
exactly!
but there is some logic to it
lol
I'm tying to calculate position sizes, IE, how far underwater would I be if we go to 133....
It has to be less than my new mortgage rate will save me
hehehe
personally I dont think we are going to 133, but just in case....
does anyone know of a resource or some function/code (excel included possibly) that determines the cheapest to deliver out of a set of bonds/conversion factors? [finds the highest implied repo rate]
seeking to not reinvent the wheel.
seeking to not reinvent the wheel.
If you don't have access to a Bloomberg or Reuters terminal then I'd suggest looking at page 1204 of Fabozzi's "The Handbook of Fixed Income Securities" for a formula for implied repo rate (do a search for it on Google Books). Next get conversion factors from CBOT.com or calculate yourself, followed by bond pricing from Yahoo Finance (search for eligible Treasuries using the bond screener) or other source.
If you have access to term repo rates, then you can improve your analysis by considering actual term repo rates. The CTD is the bond with the smallest absolute difference between the implied repo rate calculated above and the actual term repo.
If you have access to term repo rates, then you can improve your analysis by considering actual term repo rates. The CTD is the bond with the smallest absolute difference between the implied repo rate calculated above and the actual term repo.
Quote from thisisbabak:
If you don't have access to a Bloomberg or Reuters terminal then I'd suggest looking at page 1204 of Fabozzi's "The Handbook of Fixed Income Securities" for a formula for implied repo rate (do a search for it on Google Books). Next get conversion factors from CBOT.com or calculate yourself, followed by bond pricing from Yahoo Finance (search for eligible Treasuries using the bond screener) or other source.
If you have access to term repo rates, then you can improve your analysis by considering actual term repo rates. The CTD is the bond with the smallest absolute difference between the implied repo rate calculated above and the actual term repo.
I agree with the OP.
I have the DV01 factors from Tradeweb cash if you need them......
-cbk