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徐威廉 · 2024年04月13日

这题计算公式带错了吧

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000044

问题如下：

The party with the short position has decided to deliver and is trying to choose between the three bonds in the table below. Assume the most recent settlement price is 92-16, or 92.5. Which bond is the cheapest-to-deliver bond?

选项：

A.

Bond 1.

B.

Bond 2.

C.

Bond 3.

D.

Bond 4.

解释：

A is correct.

考点：Interest Rate Derivative-Interest rate Futures

解析：

Bond 1: 99.32-(92.5×1.0597)=$1.2978

Bond 2: 140.65-(92.5×1.4972)=$2.1590

Bond 3: 117.73-(92.5×1.2584)=$1.3280

Bond 4: 129.54-(92.5×1.3762)=$2.2415

Bond 1最小，所以cheapest-to-deliver bond是Bond 1。

首先CTD 的 原理就是站在Short 头寸方到期交割最便宜的的Bond，那么挑一个成本最低的就是CTD

所以根据老师上课画图 计算公式就是 CTD = Minimize cost = 市场买回价格（即本题的交割价格） - 照搬印抄表格里的QFPx cf (这就是Long 方付给Short方的收益)=BT- QFP x CF ，所以本题这数据乱带一通是不是有问题？

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pzqa27 · 2024年04月14日

嗨，爱思考的PZer你好：


这个题的公式没有用错，数字也是对的。CTD是用市场上买债券的价格减去收到的钱，市场上买债券的价格就是表格里给的，而收到的钱就是题目给的92.5*CF。

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