Cheapest to Deliver for Bond Futures


#1

Is BondFutureDiscountingMethod the class used to derive the cheapest to deliver price for a Bond Future? If so, why is BondFuture used and not BondFutureSecurity?


#2

Hi

BondFuture is part of the security object model use by OG-Analytics, our standalone analytics library. This object contains exactly what is needed for the calculations.

Our analytics are made available to the Platform through the OG-Financial integration layer which includes engine functions for exposing them as well as an object model for storing securities in our SecurityMaster. BondFutureSecurity is part of this security object model which provides for higher-level descriptions of instruments, often containing weaker references to other securities, reference rates or conventions than the analytics library requires.

Jon