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BondFuture
  BondFuture Pricing
  BondFuture Static Replication
  BondFuture Hedge
BondFuture Product Fields

Mandatory Fields


PortfolioPortfollioThe Portfolio to which belongs the position.
ExpirationDateThe date when the forward or financial future expires.
No. ContractsAmountThe number of Contracts traded.
SizeAmountThe Size of each Contract.
Tick ValuePriceThe Tick or Basis Point Value (0.01 percent or 1/10000 of a point) is the minimum value change of the contract per basis point change. Example a Tick Value of 25 USD means that the contract s value changes of 25 USD for each basis point change
Future PricePriceThe Entry Price or Future Price is the current market price of the financial future.
Discount CurveYield CurveThe interest rate curve used to discount flows.
MaturityDateThe date when the contract expires.
FrequencyIntegerFrequency at which coupons are paid.
CouponRateThe Coupon defines the annual rate paid by the issuer. The coupon is divided by the frequency and multipllied by the daycount fraction to define payments.

Optional Fields


TagTAGSThe Tag(s) associated with the position(s). Tags are URL like name value pairs separated by / in order to slice and dice analytics. Every Tag has a Dimension.
BuyBUYSELLThe Buy or Sell flag. Long positions are bought. Short positions are sold.
Counterparty- AccountCPTYACCNOThe Combined name of the Counterparty in the trade & the Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates.
Fx-HedgePERCENTDefines the foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open DateDATEThe Business Date when the position is taken into account in the Analysis.
Close DateDATEThe Date when the position will ceases to be taken into account in the Analysis.
Conversion FactorFACTORThe Conversion Factor is the factor applied between the underlying notional bond of the Bond Future and the deliverable Closest-To-Maturity Bond available in the marketplace.



 

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