Compute the CME-style conversion factor for a given bond. The conversion factor normalizes bonds with different coupons and maturities to a standard contract coupon and maturity schedule. Steps: - Calculate years to maturity from 1st delivery date to bond maturity. - Round this maturity to the nearest 3-month (quarter year) multiple. - Construct a hypothetical bond starting on the first delivery date with the standard contract coupon and rounded maturity. - Calculate the clean price of this hypothetical bond yielding the contract coupon. - Normalize and round to 4 decimal places. Parameters ---------- bond : Bond The deliverable bond for which conversion factor is calculated. Returns ------- float Conversion factor rounded to 4 decimals.

Calculate the principal invoice amount for delivering a bond. CME defines this as contract size × futures price × conversion factor / 100. Parameters ---------- bond : Bond The deliverable bond. futures_price : float The quoted futures price (in percentage points). Returns ------- float Principal invoice amount in currency units.

Calculate total invoice amount paid on delivery, including accrued interest. Parameters ---------- settle_dt : Date Settlement date when the invoice is paid. bond : Bond The deliverable bond. futures_price : float Quoted futures price. Returns ------- float Total invoice amount including accrued interest.

Calculate the fractional years from the first delivery date to the bond maturity. Uses ACT/ACT ISDA day count convention. Parameters ---------- bond : Bond The deliverable bond. Returns ------- float Fractional years (e.g., 5.25 years).

Compute the gross basis: what is received on delivery vs. bond price. gross_basis = clean_price - (conversion_factor × futures_price) Parameters ---------- bond : Bond The deliverable bond. clean_price : float The current clean price of the bond. futures_price : float The quoted futures price. Returns ------- float Gross basis value.

Compute net basis, adjusting for financing cost (repo rate). net_basis = forward_price - (conversion_factor × futures_price) Parameters ---------- bond : Bond Deliverable bond. settle_dt : Date Settlement date. clean_price : float Current bond clean price. futures_price : float Futures contract price. repo_rate : float Repo financing rate (annualized decimal, e.g. 0.02 for 2%). Returns ------- float Net basis value. Raises ------ ValueError If any price or repo_rate is negative.

Calculate implied repo rate consistent with futures price. This is the IRR of financing the bond purchase and delivering at futures price, accounting for accrued interest and coupon payments between settle and delivery. Parameters ---------- bond : Bond Deliverable bond. settle_dt : Date Settlement date. clean_price : float Current clean price of bond. futures_price : float Futures price. Returns ------- float Implied repo rate (annualized decimal). Raises ------ ValueError If clean_price or futures_price is negative.

Determine the Cheapest to Deliver (CTD) bond among candidates. The CTD is the bond with the lowest gross basis (= clean price - cf × futures price). Parameters ---------- bonds : list of Bond List of deliverable bonds. bond_clean_prices : list of float Corresponding clean prices of the bonds. futures_price : float Futures contract price. Returns ------- Bond The bond identified as Cheapest to Deliver.