treasury-bond-futures

  1. Nicole Seaman

    YouTube T3-27: Theoretical Price of Treasury Bond Futures Contract

    To calculate the theoretical futures price, we need to assume which cheapest-to-deliver (CTD) bond will be delivered by the short counterparty (who will have a choice at maturity of the contract). The quoted price of this CTD bond, which is the underlying commodity in the futures contract, is...
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