标题: Interest rate future and CTD price re 2011 mock Q52 [打印本页] 作者: Palantir 时间: 2011-7-13 13:08 标题: Interest rate future and CTD price re 2011 mock Q52
The question states the future price is 97800. However the given answer implies the CTD price is 97800.
What actually we are given? I know the relationship is p_CTD=CF*p_future.
Confused.作者: Windjammer 时间: 2011-7-13 13:08
Can someone confirm that when it is stated that a futures contract priced at X and has a duration of Y, we are actually given the price and duration of CTD?
Thanks.作者: Analyze_This 时间: 2011-7-13 13:08
Anyone can answer this question?作者: skycfa 时间: 2011-7-13 13:08
I didn't catch this, but you are right, it must be an error. It should be that the CTD price is used in the equation, not the futures price.作者: nannan66 时间: 2011-7-13 13:08
CFAI textbook V4, pp 117, example 11 did the same way, i.e, treating X and Y as those of CTD bond.作者: mp3bu 时间: 2011-7-13 13:08
Dunno man, pretty sure thats bogus. If they give me both futures price and CTD price, i'm using CTD. If they only give me futures, guess i'll use futures.
