China's treasury bonds futures are delivered in a rolling way. The settlement price of delivery from the first day of the delivery month to the trading day before the last trading day is the settlement price of the day, and the settlement price of the last trading day is the weighted average price of all the transaction prices on the last trading day of the contract. So, how to calculate the daily settlement price of treasury bonds futures?

The daily theoretical price calculation of treasury bonds futures can be divided into four steps:

1 According to the spot net price of the cheapest deliverable treasury bonds on that day, plus the accrued interest of the bonds on that day, calculate the full price of the deliverable treasury bonds on that day.

2. Calculate the futures price of the cheapest deliverable bond by using the futures holding cost pricing formula, where S is the full price of the cheapest bond, R is the risk-free interest rate, and T-t is the annualized time from now to the delivery date.

Deduct the accrued interest of the cheapest deliverable bond from the futures price on the delivery date to get the theoretical quotation of the cheapest deliverable bond futures.

4 Divide the theoretical quotation of the cheapest deliverable bond futures by the conversion factor to get the theoretical quotation of the nominal bond corresponding to the contract.

In the futures market, the futures settlement price is the basis for calculating the profit and loss of futures contract positions, margin and the range of the price limit of the next trading day. On the last trading day, the settlement price of futures contract delivery is used as the pricing standard of the delivered goods, and also as the closing price of the buyer and seller future positions. In general, the futures price is greater than 100, the ten-debt contract (T) has a term of 7 years, and the futures price is less than 100, corresponding to the bond delivery term of 10 years.