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SkipperLin · 2020年08月24日

问一道题:NO.PZ2016082402000060

问题如下:

The yield curve is upward sloping. You have a short T-bond futures position. The following bonds are eligible for delivery:

The futures price is 103-17/32 and the maturity date of the contract is September 1. The bonds pay their coupon semiannually on June 30 and December 31. The cheapest to deliver bond is:

选项:

A.

Bond A

B.

Bond C

C.

Bond B

D.

Insufficient information

解释:

ANSWER: B

The cost of delivering each bond is the price divided by the conversion factor. This gives, respectively, (102+14/32)/0.98 = 104.53, 103.49, and 103.34. Hence the CTD is bond C. All other information is superfluous.

Or we can use the complete method: cost= Bond price - Future price* conversion factor, and we can find choice B is the answer.

可以帮忙列一下complete method: spot price - QFP*CF是怎么算的么 谢谢

2 个答案
已采纳答案

品职答疑小助手雍 · 2020年08月24日

嗨,爱思考的PZer你好:


A:102+14/32-(103+17/32)*0.98=0.976875

B:106+19/32-(103+17/32)*1.03=-0.0434375

C:98+12/32-(103+17/32)*0.952=-0.18675

意思是拿C去交割,每张债券还能省0.18,最划算。


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seven-zhu · 2021年02月23日

老师, A bond算出来应该是等于1.109134的吧

品职答疑小助手雍 · 2021年02月23日

嗨,爱思考的PZer你好:


我又用计算器点了一遍还是0.976875,要不你再算算试试。

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