[Here is my XLS [ Ссылка ]] The US T-bond futures contract conversion factor (CF) basically: 1. Rounds the maturity DOWN to the nearest 3 months (0.25 years), 2. Obtains the Quoted (aka, clean, flat) price, and 3. Assumes a flat 6.0% yield curve. Discuss this video here in our FRM forum: [ Ссылка ].
