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梦梦 · 2024年06月12日

为什么settlement price不是买债券的价格?

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。

老师好,有两个问题:

1、按照课程的公式:CTD=最便宜的债券

即等于 short方买债券的成本-收到的钱

课里给的公式是:BondT-QFP*CF

按照这个公式,BondT应该是交割价格92.5%,而期货报价QFP*CF是期货到期short收到的钱啊,

bond1的CTD应该是92.5%-QFP1*CF1,以此类推才对啊。我看也有别的同学问了和我相同的问题,但老师的解释没有让我明白,看了反而更糊涂了。

2、在推倒CTD时,有AIT

购买成本是BT+AIT(是T时刻lshort在市场买债券时支付卖方的AI吗?)

T交割日收到的钱是QFP*CF+AIT 这里为什么还要有一个AIT呢?short在市场买到债券再卖给long,应该是交割日当天操作完?哪里来的AIT要给short呢?

1 个答案

pzqa39 · 2024年06月14日

嗨,从没放弃的小努力你好:


1 T时刻收到的钱 SF+A (见下图) S是老师讲的QFP,F是conversion factor, A是accrued interest 

题目中说了Assume the most recent settlement price is 92-16, or 92.5,所以用92.5乘以conversion factor

这个公式BondT-QFP*CF没有问题,你的问题在于没搞清楚什么是QFP,QFP不是表格中的quoted bond price,而是题干中的recent settlement price,BondT现货报价(才是表格中的quoted bond price


2购买成本是BT+AIT(是T时刻lshort在市场买债券时支付卖方的AI吗?),是

因为交易时dirty price ,所以要有AI


可以听一下基础班内容,老师讲得非常清楚section20 -

Cheapest–to-Deliver Bond Option

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

梦梦 · 2024年06月14日

明白了,题目中的settlement price就是T交割价,quote是futures的统一报价。

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