Basis of a bond formula

Tags: bonds pricing and analysis

Description of the Basis of a bond formula

Formula for the calculation of a bond's basis.

Formula

b = c l n P r i c e_{b o n d} - (C F_{b o n d} \cdot r t P r i c e_{F u t})

Symbols

C F_{b o n d}

Conversion factor

c l n P r i c e_{b o n d}

Bond clean price

r t P r i c e_{F u t}

Market price of the futures contract

Additional information related to this formula

Related definitions from the glossary of financial terms

Basis • Bond • Bond future • Clean price • Conversion factor

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