NO.PZ2019052801000044
问题如下:
The party with the short position has decided to deliver and is trying to choose between the three bonds in the table below. Assume the most recent settlement price is 92-16, or 92.5. Which bond is the cheapest-to-deliver bond?
选项:
A.
Bond 1.
B.
Bond 2.
C.
Bond 3.
D.
Bond 4.
解释:
A is correct.
考点:Interest Rate Derivative-Interest rate Futures
解析:
Bond 1: 99.32-(92.5×1.0597)=$1.2978
Bond 2: 140.65-(92.5×1.4972)=$2.1590
Bond 3: 117.73-(92.5×1.2584)=$1.3280
Bond 4: 129.54-(92.5×1.3762)=$2.2415
Bond 1最小,所以cheapest-to-deliver bond是Bond 1。
这个题按照英语理解92.5是近期交割价,我怎么按照基础课程讲解bt-qpt×cp为最小值来理解,bt就是近期购买报价92.5,而方框里的值要乘以后面的值。