This function, which has two options, can be accessed only in the Toolbox.
ConvFactor
Conversion Factor calculates the appropriate conversion for the futures contract based on the delivery period (for example, TYA?1, TYA?2) and the cash treasury (T.US.C025P0820, T.US.C034P0520).
Example: ConvFactor(TYA,CUS10)=0.6956
This iteration of the function has no parameters.
ConvFactor2
This function differs from ConvFactor in that ConvFactor requires specific contracts. With ConvFactor 2, you can use your own custom specs set with parameters.
This function is tradable within a spread in CQG Integrated Client.
Example: Yield_(ConversionFactor(TYA)*TYA)
ConvFactor2 parameters
|
Parameter |
Description |
|
CPN Rate (%) |
Select the coupon rate. |
|
Bond Mature Date |
Enter a maturity date. |
|
Futures Mode |
Select Default or Custom. Custom allows you to modify the expiration data and maturity period. |
|
Expiration Date |
Used when Futures Mode = Custom. |
|
Maturity Period |
Used when Futures Mode = Custom. |