Basis of a bond formula
Financial acronyms
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Description of the Basis of a bond formula
Formula for the calculation of a bond's basis.
Formula
\[ b=clnPrice_{bond}-(CF_{bond}\cdot rtPrice_{Fut}) \ \]
Symbols
\(CF_{bond}\ \)
Conversion factor
\(clnPrice_{bond}\ \)
Bond clean price
\(rtPrice_{Fut}\ \)
Market price of the futures contract
Additional information related to this formula
Related definitions from the glossary of financial terms
Basis • Bond • Bond future • Clean price • Conversion factor