
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.
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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 ...