CGFBasis(), CGBBasis(), and CGFBasis1() functions  Previous topicNext topicFirst topicLast topic

CGFBasis(), CGBBasis(), and CGFBasis1() functions

CGFBasis(argument list…)

CGBBasis(argument list…)

CGFBasis1(argument list…)

These functions return the gross basis for Canadian government bonds deliverable into the Montreal Futures Exchange five and ten year CGF/CGB contracts, respectively (using 9% standard bond coupon) and five year CGF contract using the newer 6% standard bond coupon. The functions use the following arguments:

Argument Description Restrictions
Contract_Date futures contract expiry valid Excel date number
Maturity_Date maturity date for bond deliverable into the futures contract valid Excel date number
Coupon annual coupon for bond in decimal form (e.g. six percent entered as 0.06) > 0
Cash_Bond_Price price of bond per $100 par > 0
Futures_Price futures price per $100 par > 0

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