ASX 10 Year Treasury Bond Futures calculation

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kianti
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ASX 10 Year Treasury Bond Futures calculation

Post by kianti » Fri Mar 19, 2010 12:41 pm

I was checking the following trade:

sell 1 Australian 10 years bond at 94.370
buy 1 Australian 10 years bond at 94.330
variation margin = + 307,35 AUD

and then I got more confused,I read on the SFE contract specs the following:
Prices are quoted in yield per cent per annum in multiples of 0.005 per cent. For quotation purposes the yield is deducted from an index of 100. The minimum fluctuation of 0.005 per cent equals approximately $40 per contract, varying with the level of interest rates.
Is the above + 307,35 AUD correct?


O Brother Sluggo, Where Art Thou?

sluggo
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Post by sluggo » Fri Mar 19, 2010 1:00 pm

Since you ask: today I am in California, just a few feet above sea level.

You have read the Contract Specifications correctly: the big point value of the 3-Year and 10-Year Australian Government Bonds is not a constant. (link to earlier thread). I'll bet you can dream up three or four ideas for workarounds; procedures that let you backtest and trade these contracts despite their idiosyncrasies.

It's not the weirdest contract in the world, either. Have a look at IPE Natural Gas: http://www.rjofutures.com/learning_cent ... ntract.pdf just for example.

kianti
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Post by kianti » Fri Mar 19, 2010 1:28 pm

sluggo wrote:Since you ask: today I am in California, just a few feet above sea level.
Cheers mate :D :D :D

got the answer on a nice Excel sheet
=http://www.asx.com.au/.../calculatorss ... Calculator

kianti
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Post by kianti » Fri Mar 19, 2010 1:30 pm

kianti wrote:
sluggo wrote:Since you ask: today I am in California, just a few feet above sea level.
Cheers mate :D :D :D


http://www.google.it/url?sa=t&source=we ... 3PyWCMRa4g

kianti
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Post by kianti » Fri Mar 19, 2010 1:32 pm

sluggo wrote:Since you ask: today I am in California, just a few feet above sea level.
Cheers mate :D :D :D enjoy

Meanwhile I found a nice Excel sheet:SFE Futures and Options Calculator

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