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lion · 2023年03月03日

求解释

  1. FRM I
  2. Financial Markets And Products

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。

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1 个答案

品职答疑小助手雍 · 2023年03月03日

同学你好，这个截图里的Q就对应的是这题表格里的中间那列quoted bond price。

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