المدربThe conversion factor of a deliverable note is, approximately, the price of one unit of par at a yield of 6%, computed by the exchange’s formula with the note’s coupon rounded to the nearest eighth and its remaining life from the first day of the delivery month rounded down, to a whole quarter for the ten-year and bond contracts. A short that delivers the note receives the invoice price
per 100 of face, where is the futures settlement price.
أمثلة
Example 6.4 (The exchange’s own check)
For the 3.75% note of 15 November 2018 and the December 2008 contract, , the remaining 11 months are rounded down to , so : , , , and , the factor the exchange published. The chapter’s build reproduces the exchange’s five worked examples to the fourth decimal.