Numerix Webinar: Surprisingly Complex Vanillas – Bond Futures & their Embedded Options

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Join Numerix on Wednesday, February 12th at 10:00am EST to better understand the embedded optionality in a bond future for achieving greater accuracy in pricing and Greeks

New York, NY – February 10, 2014 – Numerix (, the leading provider of cross-asset analytics for derivatives valuations and risk management, will host a complimentary webinar on Wednesday, February 12th at 10:00am EST as featured speaker as featured speaker Mark Hadley, Vice President of Financial Engineering, discusses ways practitioners can quantify the embedded options in bond futures to achieve greater accuracy in pricing and Greeks calculations.


The US Treasury bond futures are among the most liquid futures contracts in the world. Despite their widespread use, bond futures – in the US as well as other economies such as Japan (JGBs), Germany (Bunds) and the UK (Gilts) – are not often fully appreciated for their complexity. Bond futures are usually considered to be “vanilla” derivatives, but they possess non-trivial optionality which can be quite difficult to quantify and which impacts not only prices but Greeks as well.


The embedded optionality in a bond future typically arises from delivery options available to the seller of the contract, such as the ability to choose from a range of eligible Treasury bonds to deliver to the buyer, or the ability to deliver the bond to the buyer on any day during the contract’s expiration month. Since these embedded options impact not only the price but also the Greeks of the bond future, it is important that users of the bond future – especially hedgers – accurately assess the embedded optionality so their P&L and position Greeks behave as expected.

Mr. Hadley will discuss:

•    Primer on bond futures

     o    Their role as important hedging instruments

•    The embedded options within bond futures

     o    Cheapest-to-deliver option → a basket option

     o    Timing option for short deliveries → a Bermudan option

•    Approaches to valuing the embedded options

•    Impact of the embedded options on Greeks

     o    Corresponding impact on hedging activities

     o    Case study with sample calculations


Featured Numerix Speakers:

Mark Hadley, FSA, CFA, Vice President, Financial Engineering, Numerix

Mr. Hadley has worked with numerous variable annuity insurers across the industry, whose exposure spans all corners of the globe. He specializes on the capital markets side focusing on financial market modeling, hedge strategy design, and hedge execution. In his current role with Numerix, he consults with banks, hedge funds, and insurance companies across the globe on how to manage exotic derivative exposure. Prior to Numerix, Mr. Hadley worked with Milliman’s Financial Risk Management group, where he designed and executed several VA and EIA hedging strategies.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 75 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit

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