How to extract Cheapest-To-Deliver data for Futures Bonds?

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Question by dmytro.len · Apr 19, 2017 at 09:15 AM · bonds futures extract bond ctd

How to extract Cheapest-To-Deliver data for Futures Bonds?

Hi, I need to retrieve Cheapest-To-Deliver data for Futures Bonds automatically. Can you please help me to understand the way to do it? Thanks.

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Answer 1 · 2017-04-19T11:29:31Z

REFINITIV

Best Answer

Answer by paolo.ciampanelli · Apr 19, 2017 at 11:29 AM

Hi , generally if you start from the continuation RIC for a Bond Future e.g. FGBLc1 being the first continuation for Bund Future on Eurex, you'd get to the CTD adding <=CTD> to the RIC e.g. FGBLc1=CTD .

As the CTD may change along life of contract due to underlying market conditions you may also want to consider the related chain for the basked of deliverables. Those chains are also build around the future RIC e.g. 0#FGBLc1=DLV and 0#FGBLc1=CTD

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How to extract Cheapest-To-Deliver data for Futures Bonds?

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