All Questions
6
questions
3
votes
0
answers
241
views
Futures basis (Bond) optimal delivery
i have a confusion regarding how the basis converges in a couple of scenarios. Lets assume I am long UST CTD Basis
Say the curve is upward sloping:
optimally, i would choose to make delivery of the ...
- 41
0
votes
2
answers
111
views
Are risk-free-rate bonds and cash fungible?
I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock.
If you ...
- 196
1
vote
2
answers
148
views
Bond forward arbitrage relationships
I am trying to see if the following statement is true or not and I would really appreciate your help.
The statement is as follows:
$\forall $ Tradable Asset $V(t)$,
$$ E[\frac{P(t,T_{i})P(T_{i},T_{i+1}...
- 267
1
vote
1
answer
114
views
How can the face value of a bond not be a round number?
I'm reading Bruce tuckman's "fixed income securities" and I'm at the section that is explaining arbitrage. In the chart below, the cash flows are based off the biannual interest rates * the ...
- 135
1
vote
1
answer
256
views
Do price approximations lead to arbitrage opportunities?
Do price approximations lead to arbitrage opportunities against a price computed using the exact formula?
For instance, dirty bond price uses a linear approximation to compute the accrual interest:
$$...
- 343
6
votes
1
answer
260
views
Arbitrage with freshly issued bonds
I recently heard someone mention an arbitrage strategy involving selling freshly issued bonds and buying the "old batch" as it has shown that the liquidity in the fresh batch motivates/drives up these ...
- 123