Sheroda uses fixed-income futures contracts to manage the duration of Quantum. She seeks Parisi’s counsel on valuing these contracts. Parisi tells Sheroda, “the valuation of bond futures contracts entail some added complexities. For instance, because the underlying can be a number of different bonds, adjustments have to be made to make them comparable.”
Q. The adjustment Parisi refers to regarding bond futures contracts is most likely accomplished by:
- adjusting the bond’s dirty price by the future value of accrued interest.
- the conversion factor.
- adjusting the bond’s clean price by the present value of coupon payments.
此题我没明白，我认为每个bond 都有不同的accrued interest 而报价都是clean price ，那么要他们可比的话，不是应该调整clean priec 到 dirty price吗？
