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rate 怎么算出来的

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发表于 2011-7-6 10:33 PM | 显示全部楼层 |阅读模式


看到Future 10 year note is 122.75 now, while on stockcharts the 10 yr note closed at 30.95. I assume 10 yr note rate is 3.095% now?  Is that means, if I have $100, for 10 yr, 1st, I got 100*1.103095, 2nd year, got 1*1.103095 ^2... etc

这两个是Reverse 的关系, 那怎么算出来的 122.75?

Thanks
发表于 2011-7-6 11:10 PM | 显示全部楼层
本帖最后由 lite1067 于 2011-7-7 00:10 编辑

stockchart quote is the calculated yield on cash market of so called 'constant-maturity' treasuries.

On CBOT, treasury t-note futures price is quoted based on 6% coupon T-note with maturity > 6.5yr but less than 10 yr. In practice, there are more complexities that you don't want to know, such as CTD option (cheapest-to-delivery) and day counting convention. either go to google, or download a book :-)
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 楼主| 发表于 2011-7-7 06:48 PM | 显示全部楼层
lite1067 发表于 2011-7-7 00:10
stockchart quote is the calculated yield on cash market of so called 'constant-maturity' treasuries. ...

Thanks.
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