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Calculation of the conversion factor for a bond

With this calculator, you can calculate the conversion factor of a bond. The conversion factor is a key element in hedge calculations and, more generally, in the analysis of all market operations including bonds and futures. Mathematically, it is the bond's clean price, using the future contract's delivery date as value date and the future's nominal coupon rate as the bond's yield.

Characteristics of bond and future contract

Bond characteristics

 
 
 
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Future characteristics

 
 
 
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    Calculation results

     

    Important: The calculators provided on this site are intended for informational purposes only. The author cannot be held liable for their accuracy or reliability.