question

Upvotes
Accepted
3 0 1 4

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.

elektronrefinitiv-realtimetrepbondsfuturesextraction
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

1 Answer

Upvote
Accepted
62 3 1 5

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

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Click below to post an Idea Post Idea