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Suppose that Treasury futures price is 94-08. Which of the following bonds that can be delivered is cheapest to deliver bond? Bond 1: Price 99-16
Suppose that Treasury futures price is 94-08. Which of the following bonds that can be delivered is cheapest to deliver bond? Bond 1: Price 99-16 and Conversion factor 1.02; Bond 2: Price 110-16 and Conversion factor 1.15; Bond 3: Price 120-16 and Conversion factor 1.23
Any bond can be cheapeast to deliver bond | ||
Bond 1 | ||
Bond 2 | ||
Bond 3 |
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