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
, , and
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?