cheapest-to-deliver

  1. Nicole Seaman

    P1.T3.23.6. Interest rate futures: SOFR futures and duration-based hedging

    Learning objectives: Describe the impact of the level and shape of the yield curve on the cheapest-to-deliver Treasury bond decision. Calculate the theoretical futures price for a Treasury bond futures contract. Calculate the final contract price on a Eurodollar futures contract and compare...
    • Nicole Seaman
    • Thread
    • cheapest-to-deliver convexity-adjustment duration-based-hedge-ratio duration-based-hedging-strategy eurodollar-futures interest-rate-futures secured-overnight-financing-rate sofr treasury-bond
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    YouTube T3-26: US T-bond futures cheapest to deliver

    Among the T-bonds available for delivery (the short position is given a choice in order to avoid a liquidity squeeze on a single bond), the cheapest to deliver (CTD) bond minimizes the net cost. David's XLS is here: https://www.dropbox.com/s/0145of75vjwhb8c/082218-tbond-ctd.xlsx
  3. Nicole Seaman

    P1.T3.720. US Treasury bonds: conversion factors, cheapest-to-deliver & theoretical futures price

    Learning objectives: Explain and calculate a US Treasury bond futures contract conversion factor. Calculate the cost of delivering a bond into a Treasury bond futures contract. Describe the impact of the level and shape of the yield curve on the cheapest-to-deliver Treasury bond decision...
  4. G

    Determination of "Cheapest To Deliver"- Bonds

    In reference to; R19.P1.T3.Hull Study Notes How do we arrive at the conclusion below...am a little stuck on this...any inputs/insights would be much appreciated .. If bond yields are less than 6%, this favors delivery of high-coupon, short-maturity bonds; i.e., bonds with lower durations...
Top