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Derivatives

  Derivatives   |   Terms
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  • June 12, 2020
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Implied Price TED

The difference between a hypothetical note‘s yield and the Treasury note’s actual yield. The hypothetical note’s yield is the full price of the note minus the T-note’s accrued interest. The full price is the present value of the T-note’s cash flows calculated using the zero coupon prices based on stub LIBOR rates and Eurodollar futures rates.

The implied price TED is usually expressed in semiannual bond equivalent basis points.


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