Potential wrong hardcoded number for bond future conversion factor

Open Ignorance999 opened this issue 8 months ago • 1 comments

I am a newbie so sorry if i am mistaken, but https://github.com/domokane/FinancePy/blob/master/financepy/products/bonds/bond_future.py#L55

class BondFuture-> conversion_factor -> issue_dt = Date(new_mat.d, new_mat.m, 2000)

Is this 2000 intentional?

Apr 30 '25 07:04 Ignorance999

Hi - Yiou could be right. I have been ill but hope to be back on this in a 3-4 weeks. If you need it sooner, consider fixing it yourself and submitting a pull request. Thanks

May 22 '25 17:05 domokane

Hi - I have found time to look at this. Yes the 2000 is intentional but is a slight hack for the purpose of calculating the conversion factor. I am simply supplying an issue date in the past on the same month and day as the bond maturity. This should not change anything.

Aug 11 '25 12:08 domokane