NO.PZ2023091802000091
问题如下：
The yield curve is
upward sloping. You have a short T-bond futures position. The following bonds
are eligible for delivery:
The futures price is 103-17/32 and the maturity date of the contract is September 1. The bonds pay their coupon semiannually on June 30 and December 31. The cheapest to deliver bond is:
选项：
A.Bond A
B.Bond B
C.Bond C
D.Insufficient information
解释：
Cost of bond A: (102-14/32) – (103-17/32) × 0.98 = 0.9769
Cost of bond B: (106-19/32) – (103-17/32) ×
1.03 = -0.0435
Cost of bond C: (98-12/32) – (103-17/32) ×
0.952 = -0.1868
答案里的计算没看懂哦，请解答一下。
