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yan · 2024年10月12日

"/100"以及received to deliver计算公式在PPT哪里,即知识点在哪里?

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NO.PZ202312260100000504

问题如下:

The cheapest-to-deliver bond for Gem Insurance is:

选项:

A.Bond A. B.Bond B. C.Bond C.

解释:

Gem Insurance will try to deliver the cheapest-to-deliver bond to maximize the difference between the amount received by selling the futures contract and amount paid to deliver the cheapest-to-deliver bond.

The cost of acquiring the bond = Market Price + Accrued Interest

Both market price and accrued interest are reflected in the dirty price. Hence the cost of acquiring the bond is

Bond Purchase Value = (Dirty Price / 100) × Contract Size

Principal Invoice Amount received to deliver each bond is calculated as = (Futures Settlement Price / 100) × Conversion Factor × Contract Size

Based on the calculations in the table, the cheapest-to-deliver bond is Bond B, since the loss on delivering Bond B is less than the loss incurred with Bond A or Bond C.



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pzqa35 · 2024年10月12日

嗨,从没放弃的小努力你好:


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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