Serving the Quantitative Finance Community

Search found 4 matches

by CraigWard
November 10th, 2011, 12:16 pm
Forum: Technical Forum
Topic: Euro-BTP conversion-factors
Replies: 4
Views: 18408

Euro-BTP conversion-factors

I tried Eurex but they said this data wasn't available to the general public. If you have a sample sheet, that'd be great to see.
by CraigWard
November 9th, 2011, 5:12 pm
Forum: Technical Forum
Topic: Euro-BTP conversion-factors
Replies: 4
Views: 18408

Euro-BTP conversion-factors

I'm trying to calculate conversion-factors for the Euro-BTP futures. I'm following the formula from Eurex. What I'd really like is an example to follow - do these exist online?
by CraigWard
November 6th, 2011, 4:37 pm
Forum: Technical Forum
Topic: TIPS: negative yields?
Replies: 1
Views: 16432

TIPS: negative yields?

I believe that TIPS tend to trade with negative yields. Why is this? Is this related to the fact that they don't have to include an inflation premium (ie: a normal non-linked bond must include some kind of inflation premium, in the yield that it offers, in order to entice investors).
by CraigWard
October 6th, 2011, 3:04 pm
Forum: Technical Forum
Topic: yieldcurve: bond position when positive-slope
Replies: 3
Views: 19781

yieldcurve: bond position when positive-slope

<t>I read recently the following comment: "If the yield-curve is positively sloped (long-term interest-rates higher than short-term) then holding a bond position for future delivery actually produces a net income (rather than a net outgo)". I don't understand why this is the case.Is this a matter of...