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What is the conversion coefficient of treasury bond futures?
Intuitively speaking, the conversion factor is actually a bond price, but this bond price is the bond price of the corresponding deliverable bond calculated under the assumption that the market yield is futures coupon rate and the yield curve is horizontal. According to the regulations of China Financial Futures Exchange, when calculating the conversion coefficient of deliverable bonds, it is necessary to determine the remaining term of bonds on the maturity date of treasury bonds, and then convert all cash flows of bonds with a face value of 1 yuan into the present value with the nominal bond interest rate of futures contracts as the discount rate, which is the conversion coefficient of bonds.

Calculation method: When calculating the conversion coefficient, the remaining maturity of the bond is only an integer multiple of 3 months, and the extra months are discarded (two out of three). If the remaining maturity of the bond is a multiple of half a year after rounding, it is assumed that the next interest payment will be made after 6 months, otherwise the interest payment will be made after 3 months, and the accumulated interest should be deducted from the discounted value to avoid double calculation.