Price Calculator for Bond Futures (Cost of Carry Model)
(For calculating price of bond futures that has time to maturity less than 180 days) Yield to Price
Price to Yield
% (Annually)
% (Annually)
Days (Maximum 180 days)
Formula
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Example
The bond yield of a 5-year government bond with 3 months left to maturity is at 2.60% (annually). The 3-month interest rate is at 1.68%.
Therefore,
the theorical price of a 5-Year Government Bond Futures with 3 month to maturity is 110.9319
From the above example, y=2.60, r=1.68, TF=90
Variables
Futures Price
is Bond Futures price by Cost of Carry Model
B
t
is bond price that has the same time to marturity
AI
is coupon rate of a bond during the Futures holding period.
r
is Interst Rate (% Annually)
T
f
is Time to maturity (days)
C
is Coupon rate
y
is Discount rate
F
is Bond Face Value
Title
