Short term U.S. T-Note Futures Yield

[fclover]

Hi everyone,

Just wondering, how can I calculate yield values for, say, 2 Year T-Note Futures?

There is a contract specification on CME, but nothing about yield model to be used. http://www.cmegroup.com/trading/int...us-treasury-note_contract_specifications.html

Or may be someone translate already calculated yield values?

Just to make sure: I have an algorithm to calculate yield for underlying bond, but I guess it can't be used for futures.

Thank you

 

[covered_call]

You can, but there are alot of variables as far as what you wish to use as your basis (cheapest to deliver, on the run, a weighted avg of all available, etc). If you have xtrader, talk to your fcm about their trading in yield functionality.

cme provides a treasuries conversion factor worksheet on their website. you'll need that as well as the conversion factor justfies trailing and partial interest payments.