问题如下图：
选项：
A. 
B. 
C. 
解释：
考试时候可以用这种方式从原始的价格不一致来求profit么。这样的思路有没有缺陷
包包_品职助教 · 2019年04月06日
同学你好，我们也可以从最本质的角度，看看套利的利润产生的过程：
因为QFP不等于no arbitrage 的FP，这个时候我们就有套利空间，可以先借钱买入bond。然后签订一个futures合约，约定未来卖掉bond。买入bond 我们产生的现金流是-（bond的价格+利息）+，签订futures 我们收到125*0.9+AIT. bond的价格是（112+0.08），加上利息就是（112+0.08）×1.003 0.25 （次方）=112.164；到期根据futures 卖出bond 我们是收到125*0.9+0.2=112.7
总的利润就是112.7-112.164=0.536
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 能否下题目中每个条件分别代表具体什么意思?
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 为什么不用自然对数折现
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 我根据解析中画图法算出来FP=102.9672，和103*1.02轧差后是2.09
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 如题
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 请问解答中arbitrage profit为什么要折现呢？