The Treasury bond futures contract allows the party with the short position(seller) to choose to deliver any bond that has a maturity between 15 and 25 years. When a particular bond is delivered, a parameter known as itsconversion factordefinesthe price received for the bondby the party with ...
Hedge, S (1988) An empirical analysis of implicit delivery options in the Treasury bond futures contract. J Bank Finance 12: pp. 469-492Hegde,S.P.An Empirical Analysis of Implicit Delivery Options in the Treasury Bond Futures Contract.Journal of Banking and Finance. 1988...
BEIJING, March 20 (Xinhua) -- China's 10-year treasury bond futures opened higher on Friday, with the contract for settlement in June 2020 opening 0.08 percent higher at 100.72 yuan (about 14.17 U.S. dollars). The contract for settlement in September 2020 opened 0.11 percent higher at 100....
BEIJING, Dec. 10 (Xinhua) -- China's 10-year treasury bond futures opened higher on Tuesday, with the contract for settlement in December 2019 opening 0.03 percent higher at 98.23 yuan (about 13.95 U.S. dollars). The contract for settlement in March 2020 opened 0.04 percent higher at 97.7...
BEIJING, Feb. 23 (Xinhua) -- China's treasury bond futures closed higher on Friday, with the contract for settlement in March 2018 closing 0.18 percent higher at 96.09 yuan (about 15.13 U.S. dollars). The contract for settlement in June 2018 closed 0.06 percent higher at 95.94 yuan. The...
BEIJING, July 12 (Xinhua) -- China's two-year treasury bond futures closed mixed on Friday, with the contract for September 2019 closing 0.01 percent higher at 100.21 yuan (about 14.58 U.S. dollars). The contract for settlement in December 2019 closed flat at 100.02 yuan. The contract for...
China's five-year treasury bond futures opened higher on Monday, with the contract for settlement in March 2019 opening 0.06 percent higher at 98.85 yuan (about 14.3 U.S. dollars). The contracts for settlement in June and September 2019 had no trading at opening. ...
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问题如下: It's June 2nd and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September treasury bond futures contract to hedge the value of the portfolio. The ...
Hegde,S.P.An Ex Post Valuation of the Quality Option Implicit in the Treasury Bond Futures Contract.Journal of Banking and Finance. 1990An Ex Post Valuation of the Quality Option Implicit in the Treasury Bond Futures Contract. Hegde,S.P. Journal of Banking and Finance . 1990...