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作者: flyinggirl 时间: 2011-7-13 16:12
C?作者: Newhuman 时间: 2011-7-13 16:12
The answer is A but i can't really follow the how they are handling the coupon interest.
