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Strategies & Market Trends : Bonds, Currencies, Commodities and Index Futures -- Ignore unavailable to you. Want to Upgrade?


To: OX who wrote (2338)2/11/2002 2:21:33 PM
From: Louis V. Lambrecht  Read Replies (1) | Respond to of 12411
 
OX - yes TYX. Have to buy new glasses or change the monitor.<g>

Yep, accrued interest, if you have the time, but not very helpful: cbot.com

But why matter, these are formulas: you buy and sell those darn futures the usual way, interests are part of the price print.
You aslo can follow PREM on the SP contract, this is a premium included in the SP price print.



To: OX who wrote (2338)2/11/2002 3:19:17 PM
From: John Pitera  Respond to of 12411
 
OX when you buy a Treasury bond, it makes a coupon interest payment twice a year. If you buy a Treasury bond a week after it's made it's coupon payment and hold it for 5 months and sell it before it's next coupon payment, the interest accrued over your holding period is reflected in the price of the bond rising in price the amount of the accrued interest.

As we know bond prices have much bigger fluctuations due to changes in interest rates over that 5 month holding period.

John