IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v79y2006i3p1293-1316.html
   My bibliography  Save this article

Improving the Design of Treasury Bond Futures Contracts

Author

Listed:
  • 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.

Suggested Citation

  • Rodolfo Oviedo, 2006. "Improving the Design of Treasury Bond Futures Contracts," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1293-1316, May.
  • Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:3:p:1293-1316
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/500677
    File Function: main text
    Download Restriction: Access to the online full text or PDF requires a subscription.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ben-Abdallah, Ramzi & Ben-Ameur, Hatem & Breton, Michèle, 2009. "An analysis of the true notional bond system applied to the CBOT T-bond futures," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 534-545, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:79:y:2006:i:3:p:1293-1316. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division). General contact details of provider: http://www.journals.uchicago.edu/JB/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.