CGFConvFact(), CGBConvFact(), and CGFConvFact1() functions  Previous topicNext topicFirst topicLast topic

CGFConvFact(), CGBConvFact(), and CGFConvFact1() functions

CGFConvFact(argument list…)

CGBConvFact(argument list…)

CGFConvFact1(argument list…)

These functions return the conversion factor 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

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