How to extract Cheapest-To-Deliver data for Futures Bonds?

dmytro.len
dmytro.len
in TREP APIs

Hi, I need to retrieve Cheapest-To-Deliver data for Futures Bonds automatically. Can you please help me to understand the way to do it? Thanks.

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  • paolo.ciampanelli
    paolo.ciampanelli
    Answer ✓

    Hi , generally if you start from the continuation RIC for a Bond Future e.g. FGBLc1 being the first continuation for Bund Future on Eurex, you'd get to the CTD adding <=CTD> to the RIC e.g. FGBLc1=CTD .

    As the CTD may change along life of contract due to underlying market conditions you may also want to consider the related chain for the basked of deliverables. Those chains are also build around the future RIC e.g. 0#FGBLc1=DLV and 0#FGBLc1=CTD

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