calculate yield from interest rate future

[zweistein]

Hello,

has anyone done a calculation of the yield for the bond futures like ZB and FGBL ?

Any good hint or links to calculation formulas is welcome.

How to find out the composition of maturities of the actual bond future ?

andreas

[NinjaTrader_Bertrand]

Hi Andreas, I'm not aware of any 'ready made' script for these tasks, however perhaps this formula 'cheat sheet' will help a bit - http://www.investopedia.com/universi...ancedbond7.asp

[UltimateIndicator]

Hello zweistein,

Please check out my indicator http://www.ninjatrader.com/support/f...t=38011&page=2 which implements variety of 'interest rate' functions including BondYield function and lot more.

[zweistein]

Thank you UltimateIndicator,

very intersting work your math expression parser.


What I am looking for is the composition of the ZB and FGBL basket. In principle they contain a mixture of bonds with different maturities. Sould come to an average of 30 years maturity for ZB and 10 year for FGBL. But to calculate the yield acurately one must know the maturities for each bond in the basket.


It would be interesting to find out how exactly this composition is.

regards

Andreas

[UltimateIndicator]

Andreas,

There is no such thing as

composition of the ZB and FGBL basket

. If you had read description of my indicator in its entirety you'd have arrived to this link http://www.elitetrader.com/vb/showth...hreadid=193790 which briefly explains how to calculate implied yield of interest rate futures contracts.

[zweistein]

Thank you for the discussion link,

inside I found the real interesting link, which is
http://www.eurexchange.com/trading/p...iverable_bonds

and the solutution is that a conversion factor is supplied by the futures exchange. In this way the standard maturity for the future contract can be used for a yield calculation.
(Originally I wanted to calculate this conversion factor myself from the basket of the existing maturities)

T-Bond futures are brobably similar, but I have no link yet to conversion factors,

have a nice evening

andreas

[UltimateIndicator]

I'm very well aware of the link to the eligible German bonds and their conversion factors.

inside I found the real interesting link, which is
http://www.eurexchange.com/trading/p...iverable_bonds

If you need US bonds they can be found here: http://www.cmegroup.com/trading/inte...n-factors.html

[zweistein]

Hello,

so for the FGBL 06-11 I have 4 different deliverables, of which the firstr two ones are:

Deliverable Bond ISIN Coupon Rate (%) Maturity Date Conversion Factor
DE0001135390 3.25 04.01.2020 0.819607
DE0001135408 3.00 04.07.2020 0.794743


Assuming a future price of 125.4 :

so for a bond future price of 125.4 I get the following clean prices at settlement:
125.4* 0.819607 = 102,778
125.4 * 0.794743 = 99,6607

So for a 3,25% Bond I do pay a premium and for a 3,0 % Bond I get a discount.

Am I correct that YTM (yield to maturity) will be between 3% and 3.25% ?

calculating the yield using the Excel yield function I will get different results for the two delivearble Bonds (2,87 and 3,04 %).

This does not make sense to me: I would expect the yield to be the same for the two deliverable bonds.
How come this difference?

What does Bloomberg use to calculate the Bond Yield ?

Or is this value only the current yield?

Any help is welcome to calculate YTM from the bond future price.
regards
andreas

[zweistein]

OK,

I am getting further:

1. I can always calculate the yield using a hypothetical 10 year 6% bond price is the future price, using a standard Yield formula like excel etc.


2. Real delivery can be a basket of deliverable bonds, but in reality the supplier will always deliver the CTD (cheaperst to deliver) Bond.

The CTD Bond can change with time.
Therefore it is necessary to calculate the YTM for all deliverable bonds. The deliverable will always be the one with lowest yield.

This yield should represent the YTM for the future price.

Any comments are welcome

Andreas