
168 Derivatives and Risk Management
maturity of the bond will be 9 years, which is an exact multiple of six months. In this case, the rst coupon
will be assumed to be paid aer 6 months, or on December 31, 2010. By using the above revised maturity,
the value of the bond will be calculated. e conversion factor will then be calculated as the value of the
bond divided by the face value of the bond.
E X A M P L E 8 . 1
Assume that you are calculating the conversion factor on October 1, 2009, for a futures contract with
expiry in March 2010. e bond has a coupon of 6.9% and the maturity date of July 13, 2019. When
rounded to six months, the ...