Not exactly related to CFA material, but is anyone familiar with a site that converts interest rate futures into % equivalents that investors are factoring in when a rate increase will occur? There’s a Bloomberg page that makes this calc, but don’t have access to terminal and this data would be useful for report at work. Thanks, John
are you referring to treasury futures? http://www.cmegroup.com/trading/interest-rates/us-treasury-futures-conversion-factor-calculator.html you can get the conversion factor from here. when you determine the conversion factor, you can calculate the forward price of CTD at the delivery date. from there you can use excel yield function to calculate the forward yield (calculated yield of CTD at the delivery date).