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Fixed Income Mathematics
book

Fixed Income Mathematics

by Robert Zipf
June 2003
Beginner content levelBeginner
366 pages
9h 16m
English
Academic Press
Content preview from Fixed Income Mathematics
EXAMPLE 22.14. Using this equation, calculate the conversion factor of
the 5 1/4s of 02/15/29 U.S. T-bond deliverable into the Chicago Board of Trade’s
U.S. T-bond futures contract expiring in March of 2000.
C = 0.0525
N = 28 (March 1, 2000, through March 1, 2028; remember, full years)
X = 9 months (March 1 through February 15, rounded down from 11 months
to the number of months in the nearest full quarter, which in this case is
9 months.
UNDERSTANDING THE EQUATIONS FOR
COMPUTING CONVERSION FACTORS
Like many fixed-income mathematics equations, these conversion factor equa-
tions appear more fearsome than they actually are. We’ll look at the one for
the ...
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Publisher Resources

ISBN: 9780127817217