In the last screencast, we noted the role of the conversion factor (CF) is to make the short (in a Treasury bond futures contract) almost indifferent in delivery among several different eligible government bonds. The "almost" indifferent refers to the idea that the short can maximize his/her profit by selecting the cheapest to deliver (CTD) bond. The cheapest to deliver (CTD) bond minimizes [cost to acquire -- proceeds received] or maximizes [proceeds received -- cost to acquire].
Thank you !! Great job !!!
Tinkwi 2 months ago
Thank you very much. Very simple and clear
sergeymipt 11 months ago
Had no clue what this was about in my derivatives class, now everything makes so much sense. Thank you, truly.
t0mb0y10 1 year ago
sorry, what's the conversion factor??
yellowwitch1 1 year ago
Exactly what I was looking for, thank you.
Xraid32 2 years ago
Incredible, I'm writing an excel programme on just this topic. Thanks a million
ananneh 2 years ago