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To: MonsieurGonzo who wrote (6262)	7/18/1999 1:15:00 PM
From: Gersh Avery	Read Replies (1) of 11051

"tick tock .." I think that the number that is being put out for the price of the thirty year bond is for the futures. The reason that think this is because of the number of 30yr bonds that have been issued and their vairous expiration dates. If this is the price of just one of these issues then the formula for the "future value of an annuity" would work. You could find the known value of the bond at expiration, the interest rate, payments that are being paid. The only unknown would be the current value. Another close approximation could be arrived at by putting together some fair value numbers. Two variables would be volitility and time to expiration. I would presume that the folks that put the SP9U fair value numbers know what they are doing. starting from that basis: data for the last thirty days should do s = (SP9U high - SP9U low)/SP9U high b = (US9U high - US9U low)/US9U low vr = b/s (volitility ratio) pr = US9U/SP9U (price ratio) sf = current SP9U premium fairvalue * vr * pr Current price of hypothetical bond = US9U - sf Does this seem to fit? Gersh

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