Anyone know how to do this?

uberathlete · Aug 6, 2007

Hi everyone. I apologize if this isn't where I should post this question. Basically, I would like to know how I can calculate the implied yield from a bond futures price. I have data 10 year bond futures prices but I would like to calculate the implied yield. Does anyone know how I can do this? Any suggestions would be greatly appreciated. Thanks!

a_gnome · Aug 6, 2007

uberathlete said:
Hi everyone. I apologize if this isn't where I should post this question. Basically, I would like to know how I can calculate the implied yield from a bond futures price. I have data 10 year bond futures prices but I would like to calculate the implied yield. Does anyone know how I can do this? Any suggestions would be greatly appreciated. Thanks!

Hi there, I'm afraid that it's not that straight-forward a calculation. IIRC you need to know stuff like the cheapest to deliver underlying cash bond etc. I would suggest that you look it up on the various financial web-sites that are around or in a text book.

uberathlete · Aug 7, 2007

Hi there, thanks for the replies. Well, assuming I have all the components needed (ie. conversion factors, etc.) what would be the procedure of calculating the implied yields? If you don't mind, could you give me a numerical example? Thanks.

Anyone know how to do this?

uberathlete

Newbie

a_gnome

Well-known member

uberathlete

Newbie

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