Re: Futures Implied Yield

Posted by MikeD on Sep 03, 2010; 3:55pm
URL: http://quantlib.414.s1.nabble.com/Futures-Implied-Yield-tp14p16.html

The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs (McGraw-Hill Library of Investment and Finance) [Hardcover]

On Fri, Sep 3, 2010 at 10:47 AM, Andrew Hill <[hidden email]> wrote:

Hello.  I am attempting to compute the implied yield of a treasury futures contract, but I really have no idea where to start.  For example, i'm unclear if I should be using FuturesRateHelper or ForwardRate and applying my own convexity correction somehow.  Can anyone offer suggestions?  The ideal case would be an example starting with only the contract price, tenor, and expiration.

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