Note and Bond Futures
This module covers futures contracts based on fixed income securities. These futures contracts enable you to fix the price of a bond today to be bought or sold in the future. We'll start out by introducing contract specifications and conversion factors, and then work our way through the cheapest to deliver scenario, invoice amounts and accrued interest, pricing, and cash and carry. The module wraps up with a discussion of implied repo rates, finding the cheapest to deliver bond, and hedging with bond and note futures.
This course replicates the content from module 4 of the course Forwards and Futures: Pricing and Risks.
CPE Credits: 1
| Program Level | Intermediate |
| Prerequisites | Derivative Instruments or equivalent level of knowledge. |
| Advance Preparation | No advance preparation required. |
| Recent Revision Date | June 4, 2015 |
| Instructional Delivery Method | QAS Self Study |
| Field of Study | Specialized Knowledge and Applications |
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Duration : 1 hour
- Contract specifications
- Conversion factors and cheapest to deliver
- Invoice amount and accrued interest
- Pricing: cash and carry
- Finding the cheapest to deliver
- Hedging with bond and note futures