How is /ZN priced?

[Spaghetti Code]

I'm trying to understand the relationship between /ZN and TNX. There is another thread here from many years ago, but it didn't answer the pricing.


My specific question: ^TNX is at 3.8620 today, implying an interest rate of that much per year for the next X years. (Not sure the exact duration). /ZNU4 is at 113'100 as of close. My math says that the interest rate on the CTD bond (at like 6.5 years I think) for the /ZN contact would be like 1.25 % or so, working backwards.


How is /ZN priced ?

 

[mervyn]

https://www.quora.com/How-do-you-ca...-interest-rate-of-a-10-Year-U-S-Treasury-note

https://www.cmegroup.com/education/files/understanding-treasury-futures.pdf

recently acutioned 10s last week, had a coupon 3.875. do the math.

10-Year 91282CLF6 08/15/2024 3.960% 3.875% $99.303721

 

[Overnight]

I'm trying to understand the relationship between /ZN and TNX. There is another thread here from many years ago, but it didn't answer the pricing.


My specific question: ^TNX is at 3.8620 today, implying an interest rate of that much per year for the next X years. (Not sure the exact duration). /ZNU4 is at 113'100 as of close. My math says that the interest rate on the CTD bond (at like 6.5 years I think) for the /ZN contact would be like 1.25 % or so, working backwards.


How is /ZN priced ?

Just go straight to the horse's mouth. Be sure to bring some fruit though, like apples and pears.

 

[2rosy]

If you know python, the rateslib package is good. You just need to supply the eligible basket of deliverables.