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Find the annualized implied repo rate on a T-bond arbitrage if the spot price is 112.25, the accrued interest is 1.35, the futures price is
Find the annualized implied repo rate on a T-bond arbitrage if the spot price is 112.25, the accrued interest is 1.35, the futures price is 114.75, the CF is 1.0125, the accrued interest at delivery is 0.95, and the holding period is three months.
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
