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上小学 · 2023年04月12日

请问在此题中哪个价格是得到的收入,哪个价格是假如去购买债券付出的成本?

NO.PZ2020021204000035

问题如下:

A futures price is 115.00. T hree bonds that can be delivered have quoted prices of 98-125, 103-127, and 120-230. The conversion factors of the bonds are 0.8456, 0.8844, and 1.0267. What is the cost of delivering each bond? Which is the cheapest to deliver?

解释:

The prices of the three bonds are

9812.532=98.390698\frac{12.5}{32}=98.3906, 10312.7532=103.3984103\frac{12.75}{32}=103.3984, and 1202332=120.7187120\frac{23}{32}=120.7187

The costs of delivering the bonds are

98.3906 - 0.8456 X 115 = 1.1466,

103.3984 - 0.8844 x 115 = 1.6924, and

120.7187 - 1.0267 X 115 = 2.6482.

The first bond is the cheapest to deliver.

115应该是支付的成本啊 报价乘以系数是得到的收入。谁减去谁糊涂了?不是要成本最低的吗?

1 个答案
已采纳答案

pzqa27 · 2023年04月13日

嗨,爱思考的PZer你好:


115是期货的买方给卖方支付的,这个对于卖方来说是收入。而CTD的意思是站在卖方的角度,交付一个成本最低的债券,市面上的债券价格分别是98.39,103.39,120.718,因此用这仨价格-115*CF后,最便宜的那个才是CTD

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NO.PZ2020021204000035问题如下 A futures priis 115.00. T hree bon thcliverehave quoteprices of 98-125, 103-127, an120-230. The conversion factors of the bon are 0.8456, 0.8844, an1.0267. Whis the cost of livering eabon Whiis the cheapest to liver?The prices of the three bon are9812.532=98.390698\frac{12.5}{32}=98.3906983212.5​=98.3906, 10312.7532=103.3984103\frac{12.75}{32}=103.39841033212.75​=103.3984, an1202332=120.7187120\frac{23}{32}=120.71871203223​=120.7187The costs of livering the bon are98.3906 - 0.8456 X 115 = 1.1466,103.3984 - 0.8844 x 115 = 1.6924, an20.7187 - 1.0267 X 115 = 2.6482.The first bonis the cheapest to liver.1.债券future价格是112,买方付这么多,备选券三个报价差距这么大,为啥不直接买最便宜的。2.每类债券报价(净额)和 债券统一报价112*折现率,这俩种价格除了做卖方成本计量,还有其他用途吗3.未来都是用112买家来买,那为啥每个债券有自己报价呢

2024-03-31 13:16 1 · 回答

NO.PZ2020021204000035 问题如下 A futures priis 115.00. T hree bon thcliverehave quoteprices of 98-125, 103-127, an120-230. The conversion factors of the bon are 0.8456, 0.8844, an1.0267. Whis the cost of livering eabon Whiis the cheapest to liver? The prices of the three bon are9812.532=98.390698\frac{12.5}{32}=98.3906983212.5​=98.3906, 10312.7532=103.3984103\frac{12.75}{32}=103.39841033212.75​=103.3984, an1202332=120.7187120\frac{23}{32}=120.71871203223​=120.7187The costs of livering the bon are98.3906 - 0.8456 X 115 = 1.1466,103.3984 - 0.8844 x 115 = 1.6924, an20.7187 - 1.0267 X 115 = 2.6482.The first bonis the cheapest to liver. 请问这里为什么没有考虑accureinterest呢

2024-03-17 22:40 2 · 回答

NO.PZ2020021204000035 这里的报价计算有点看不懂,98-125,103-127,为什么一个按照12.5/32计算,一个按照12.75/32计算?

2021-04-25 15:32 1 · 回答

这里我是用FP/- SP的结果来比较,得到的数值比答案要大,这样计算也可以叫做cost of livery吗?

2020-10-10 09:38 1 · 回答