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Palantir

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tT
发表于 2011-7-13 13:08 | 只看该作者

Interest rate future and CTD price re 2011 mock Q52

actually, 2011, future, question
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.
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Windjammer

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2#
发表于 2011-7-13 13:08 | 只看该作者
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.

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Analyze_This

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3#
发表于 2011-7-13 13:08 | 只看该作者
Anyone can answer this question?

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skycfa

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4#
发表于 2011-7-13 13:08 | 只看该作者
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.

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nannan66

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5#
发表于 2011-7-13 13:08 | 只看该作者
CFAI textbook V4, pp 117, example 11 did the same way, i.e, treating X and Y as those of CTD bond.

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mp3bu

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6#
发表于 2011-7-13 13:08 | 只看该作者
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.

It *should* be CTD.

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