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- 2011-7-11
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- 2014-8-7
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Mkt price of a 3 month bond $78
Sppot price of cheapest to deliver bond $85
conversion factor for cheapest to deliever bond
(including accrued interest) 1.13
Cheapest to deliever bond 7.5% coupon (next payment in 3 months)
annualised risk free rate 4%
determine the fair value of the treasury bond futures contract price and whether or not an arbitrage profits is possible.
a. $72.64, arbitrage possible
b. $78, no arbitrage
c. $82.08 arbitrage possible |
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发表于 2011-7-13 16:12
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