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How to calculate the duration of six-month short-term treasury bills?
Duration calculation formula of six-month short-term treasury bills: contract size *( 100- annualized discount rate *6/ 12)/ 100. 6-month treasury bond futures quotation and 6-month treasury bond futures clearing rules (which can be understood as contract value) are calculated in different ways. The quoted price of 6-month treasury bonds futures is 100 minus last year's discount rate, while the fund settlement rules of treasury bonds futures are based on contract size *( 100- annualized discount rate *6/ 12)/ 100, which means that the time factor has been considered in fund settlement, so the 6-month treasury bonds futures are calculated.