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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？

  1. FRM I
  2. Financial Markets And Products

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？

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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