Rodolfo Oviedo (Universidad Austral and McGill University)
Abstract
In bond futures contracts, the seller can choose which bond to deliver from a basket of eligible issues. To make the futures invoice price (FIP) for the different eligible bonds close to their corresponding spot market prices, the FIP is made a function not only of the last futures settlement price but also of the bond chosen for delivery. In this paper, I propose an alternative function that, using these same inputs, meets the aforesaid objective much better than the current conversion factor–based function, whose poor performance is well known.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 79 (2006) Issue (Month): 3 (May) Pages: 1293-1316 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF