Given the following information, there is a cash-and-carry arbitrage opportunity. What trades are necessary to exploit it and how much profit can be made?
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CTD Bund 8 7/8% 20/12/2011 price: Don't use plagiarized sources. Get Your Custom Essay on
given the following information there is a cash and carry arbitrage opportunity 600413
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102.71 |
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Accrued coupon: |
3.599 per 100 |
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Bund futures price: |
85.31 |
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Conversion factor for CTD: |
1.2030 |
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Repo rate: |
6.80% |
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Days to futures delivery date: |
24 |
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Futures contract amount: |
€100,000 |
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Accrued coupon on CTD at futures delivery date: |
4.182 per 100 |
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