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I don’t have a bond quotation terminal or feed. Only Ninja with price feed supplying futures contracts quotes ( ZN, ZT, ZB, etc. ).
I was hoping to calculate the yield from the treasury futures contract price. I had thought that I would be able to convert the futures contract price to the cash price of the underlying bond to use as input into a yield to maturity algorithm.
I haven’t found a way to do it. I found some cme resources that I interpreted to mean that if I use their conversion factor table I can arrive at the price.
The conversion factor for a 10 year with coupon 2.25 is .7210.
Current futures quote for 10 year ( ZN 06-17 ) is 124 10/32.
Cash price quote is 98 15/32 ( 98.46875 )
So 124.3125 x .7210 should == 98.46875 but it doesn’t… it’s 89.629
Does anyone know of an algorithm to convert the futures contract price of a bond to it’s cash based deliverable?
Can you help answer these questions from other members on NexusFi?
It will never be exact, you can not calculate it lineair, as there can be contango or backwardation, the premium also depends on the time to expiry and will be bigger just after the roll-over and smaller when roll-over is approaching.
Approximation might be enough help. I found a method to do that but it does depend on getting the real time price of the cash bond/note on some interval ( daily or intra-day if the market moves a lot ):
Using this feed periodically calculate a conversion factor:
cash price divided by futures price = conversion factor
Then in real time:
futures price * conversion factor = cash price (approximately).
As long as the noise in the approximation remains somewhat consistent throughout a day it may be useful for tracking the movement of the YTM throughout the day. And then on to yield spreads, that which is the ultimate goal I have for all of this!
Yes exactly. I want to create a data series of YTM spreads using real-time futures ( for each leg in the spread... ZN - ZT or ZB - ZN ( NOB ). I have all the pieces now except for a "free" price feed for "occasional" cash note/bond quotes ( to generate the conversion factor). If I can't find that then all is kaputt!
Yes perhaps you're right and my approach is overkill. After all I have not eliminated the need to scrape a website or get some web service quote. but I didn't tell you that I want to compare the yield spread to other instruments in a multi-data series chart. I don't know what time frames are going to be interesting to me ( or others ). If it's a small tight time-frame one would prefer the futures contract derived spread as it's sure to keep lockstep correlation pace with the prices other instruments being compared.... I would expect.
If I were not so cheap I would just buy the data feed but I have 2 other purposes besides tying to use the end result: one: learn ( and that I'm doing a lot of ) and two: make this available to other cheap-skates!
