题目
The yield curve is upward sloping. You have a short T-Bond interest rate futures position. The following bonds are eligible for delivery:「huixue_img/importSubject/1564170388336939008.png」The futures price is 103 - 17/32 and the maturity date of the contract is September 1. The bonds pay their coupon amount semiannually on June 30 and December 31. With these data, the cheapest-to-deliver bond is:
选项
A.BondA
B.Bond B
C.Bond C
D.Insufficient information to determine
答案
B
解析
The bond with the lowest net cost is called cheapest to deliver.Cost=Price-Futures Quote×Conversion FactorCost_A=102.44-(103+17/32)×0.98=0.98. Cost_B=106.59-(103+17/32)×1.03=- 0.05. Cost_C=98.38-(103+17/32)×0.95=0.03So, bond B is the cheapest to deliver bond. 净成本最低的债券是最便宜的可交割债券 成本=价格-期货报价×转换因子 CostA=102.44-(103 17/32)×0.98=0.98 CostB=106.59-(103 17/32)×1.03=-0.05 CostC=98.38-(103 17/32)×0.95=0.03 因此，债券B是最便宜的债券