| CGFBasis(), CGBBasis(), and CGFBasis1() functions | |
CGFBasis(), CGBBasis(), and CGFBasis1() functionsCGFBasis(argument list…)
CGBBasis(argument list…)
CGFBasis1(argument list…)
These functions return the gross basis 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 |
| Cash_Bond_Price | price of bond per $100 par | > 0 |
| Futures_Price | futures price per $100 par | > 0 |
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