Government Bond Futures: Pricing and Valuation
Interactive

Government Bond Futures: Pricing and Valuation

Intuition Publishing
Updated Sep 24, 2020

Here we look at the valuation and pricing of government bond futures contracts. First we distinguish between quoted prices and invoiced prices, and then derive the formula for valuing a government bond futures contract. We then go on to learn how to calculate the invoiced futures price and the quoted futures price, and finally use all of these derived formulas to price a government bond futures contract.