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Anna · 2024年11月19日

再往下问一步套利

  1. CFA II
  2. Derivative

NO.PZ2023041003000017

问题如下：

Kemper’s second investment idea is to purchase a 10-year Treasury note futures contract. The underlying 2%, semi-annual 10-year Treasury note has a dirty price of 104.17. It has been 30 days since the 10-year Treasury note’s last coupon payment. The futures contract expires in 90 days. The quoted futures contract price is 129. The current annualized three-month risk-free rate is 1.65%. The conversion factor is 0.7025. Doyle asks Kemper to calculate the equilibrium quoted futures contract price based on the carry arbitrage model.

The equilibrium 10-year Treasury note quoted futures contract price is closest to:

选项：

A.

147.94.

B.

148.89.

C.

149.78.

解释：

The equilibrium 10-year quoted futures contract price based on the carry arbitrage model is calculated as：


CF = 0.7025

B0 = 104.00

AI0 = 0.17

AIT = (120/180×0.02/2)*100 = 0.67

FVCI = 0


这道题计算出来平衡状态下QFP是147.94，和市场上的129报价不同，所以可以产生套利空间，可以这么理解吗？

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1 个答案

李坏_品职助教 · 2024年11月19日

嗨，从没放弃的小努力你好：


说得对。我们算出来的合理的报价是QFP = 147.94, 市场上的报价129太低了，说明我们可以long futures进行套利。

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努力的时光都是限量版，加油！

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