Calculate Fair Value of the CGB (or CGZ, CGF, LGB) Roll

Photo of Kevin Dribnenki and article title - Calculate Fair Value of the CGB (OR CGZ, CGF, LGB) Roll

Investors regularly ask us how to calculate the fair value of rolling from the active to new contract for various physical delivery fixed income contracts listed on Montréal Exchange. We discuss here why a complete calculation is unsettlingly complex but suggest that, for most investors, a simplified, option-free, fair value calculation is probably adequate.

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