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The effect of coupon level on treasury bond futures delivery

โœ Scribed by Miles Livingston

Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
358 KB
Volume
7
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

considerable body of literature has developed concerning the cheapest bond A to deliver against the Chicago Board of Trade Treasury Bond futures contracts.

The investor who is short in this contract has the option to deliver one out of many possible bonds. A number of authors have argued that this so-called quality option will affect the futures price before delivery.' A second issue has concerned the impact of maturity and coupon level upon cheapness of delivery, (

๐Ÿ“œ SIMILAR VOLUMES

An empirical analysis of the delivery op
An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures
โœ Simon Benninga; Michael Smirlock ๐Ÿ“‚ Article ๐Ÿ“… 1985 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 788 KB

ike many other futures contracts, the Treasury Bond (T-Bond) futures contract L allows the holder of a short position to satisfy the contract by delivering one of the variety of T-Bonds on one of a number of delivery dates. Accordingly, the traditional approach to pricing such contracts has concentr