1. The cheapest-to-deliver bond always has either the highest (if the market interest rate is less than...

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1. The cheapest-to-deliver bond always has either the highest (if the market interest rate is less than 8 percent)

or lowest coupon of all deliverable bonds. This result assumes that the set of deliverable bonds is convex, but it is independent of the term structure.

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Financial Modeling

ISBN: 9780262024822

2nd Edition

Authors: Simon Benninga

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