Skip to main content

eurex_btp_conversion_factor

Function eurex_btp_conversion_factor 

pub fn eurex_btp_conversion_factor(
    coupon: f64,
    interest_start: NaiveDate,
    first_coupon: NaiveDate,
    maturity: NaiveDate,
    delivery: NaiveDate,
    notional_coupon: f64,
) -> f64
Expand description

Eurex’s conversion factor for a semi-annual-coupon Italian government bond delivered into the Euro-BTP future, rounded to seven decimals, as Conversion factor calculation for Euro-BTP Future states it: the eurex_conversion_factor formula on half-year coupon periods, cn/(100·cf) the per-period notional yield, each coupon and the redemption discounted a further delay/daycount periods for a payment date that rolls off a weekend or holiday — delay the days it rolls, daycount the actual days of the period after it. The payments roll following on the TARGET calendar, where BTPs pay.

coupon and notional_coupon are decimals; the other arguments are eurex_conversion_factor’s.