So the yield on the 10yr US treasury is currently 1.623% while the price of a future on it (IG Index) is 13,050. How do I get one figure from the other?
I'm interested in calculating what a theoretical price of the ZB or UB(Ultra Bond) futures would be priced at, given an interest rate of 1%. Or 0% If the 30Y interest rate is around 1%, what will...
So the yield on the 10yr US treasury is currently 1.623% while the price of a future on it (IG Index) is 13,050. How do I get one figure from the other?
I'm interested in calculating what a theoretical price of the ZB or UB(Ultra Bond) futures would be priced at, given an interest rate of 1%. Or 0% If the 30Y interest rate is around 1%, what will...
OK, pretty detailed. But the important point seems to be that there's the idea that the bonds to be delivered would have a 6% yield. Clearly yields are more like 1-2% now, so bonds are worth significantly more so the price of the future should be more than 10,000. If I discount all payments on a $10,000 bond with a 6% coupon over ten years at 1.62% I get $14010, which I suppose is somewhat close to $13050. Clearly I still don't fully understand it, but I do now have some feeling for it.