Forum: Treasury Notes and Bonds
March 22nd, 2017, 11:17 AM
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Replies: 8
Views: 2,138
Yes perhaps you're right and my approach is...
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...
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Forum: Treasury Notes and Bonds
March 22nd, 2017, 10:44 AM
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Replies: 8
Views: 2,138
Yes exactly. I want to create a data series of...
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...
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Forum: Treasury Notes and Bonds
March 22nd, 2017, 10:20 AM
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Replies: 8
Views: 2,138
Approximation might be enough help. I found a...
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...
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Forum: Treasury Notes and Bonds
March 21st, 2017, 03:52 PM
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Replies: 8
Views: 2,138
Bond Futures Price to Bond Cash Price
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...
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