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Assuming all of the following bonds are eligible for delivery, and given the last futures quote of 100.25, which bond would be deemed the cheapest-to-deliver
- Assuming all of the following bonds are eligible for delivery, and given the last futures quote of 100.25, which bond would be deemed the cheapest-to-deliver from the sellers perspective? SHOW YOUR WORK FOR CREDIT
- A bond priced at 99.25, with a conversion factor of 0.9714
- A bond priced at 103.50, with a conversion factor of 1.0473
- A bond priced at 100.75, with a conversion factor of 0.9932
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Quantitative Finance: An Object-Oriented Approach In C++
Authors: Erik Schlogl, Dilip B. Madan
1st Edition
1584884797, 978-1584884798
