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Quantitative Finance · Glossário

O que é Conversion factor and invoice price?

Também chamado de: conversion factor · invoice price

Definition 6.2 Markets II: Rates, FX and Credit · Capítulo 6 — Bond Futures

The 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

invoice  =  F×CF  +  accrued interest at delivery,\text{invoice} \;=\; F \times \mathrm{CF} \;+\; \text{accrued interest at delivery},

per 100 of face, where FF is the futures settlement price.

Exemplos

Example 6.4 (The exchange’s own check)

For the 3.75% note of 15 November 2018 and the December 2008 contract, n=9n = 9, the remaining 11 months are rounded down to z=9z = 9, so v=3v = 3: a=0.985329a = 0.985329, b=0.009375b = 0.009375, c′=0.570286c' = 0.570286, d=0.268571d = 0.268571 and CF=0.8357\mathrm{CF} = 0.8357, the factor the exchange published. The chapter’s build reproduces the exchange’s five worked examples to the fourth decimal.

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