With the design of a package of deliverable bonds, many bonds that meet the delivery standards often appear in the spot market on the maturity date of treasury bonds futures, which prevents the occurrence of forced liquidation to the greatest extent. However, for bonds with different coupon rate and maturity dates, the spot prices are quite different because of the different cash flows they bring to investors. In this case, it is obviously unreasonable to deliver according to the settlement price of the same treasury bond futures. One question that arises from this is, at a given futures final settlement price, at what price will bonds with different maturities and different coupon rate be delivered?

In order to help investors calculate the final delivery price at the time of delivery, a conversion coefficient system is designed in the delivery of treasury bonds futures.

In treasury bond futures trading, the conversion coefficient is usually calculated and published by the futures exchange, and its calculation method is also open. The calculation formula of conversion coefficient is a bit complicated, and the calculation of conversion coefficient of different futures exchanges is slightly different. For example, in the European Futures Exchange, the conversion coefficient is accurately calculated, while in the Chicago Board of Trade, the approximation method is adopted. However, no matter what calculation method is adopted, the principle is the same. That is to say, when calculating the conversion coefficient of deliverable bonds, we must first determine the remaining term of bonds on the maturity date of treasury bonds, and then use the nominal bond interest rate of futures contracts as the discount rate to convert all the cash flows of bonds with a face value of 1 yuan into the present value, which is the conversion coefficient of bonds.