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Treasury bond futures: Valuing the delivery options

Treasury bond futures: Valuing the delivery options The authors would like to thank Martin Kratchman, Mark Landau, Glenn Picou and especially Scott Levy for greatly increasing our understanding of the delivery options, and David Emanuel and an anonymous referee of this Journal for helpful comments. We would also like to thank Robert K. Y. Chan, Raj Daryanani, Judy Jonson and Susan Ross for their excellent research and programming assistance. ’We say almost because if a coupon drop occurs during the holding period, the investment of the coupon sum does not have a guaranteed return. Marcelle Arak and Laurie S . Goodman are Vice Presidents in the Capital Markets Analysis Department at Citicolp Investment Bank, New York. The Journal of Futures Markets, Vol. 7, No. 3, 269-286 (1987) 0 1987 by John Wiley & Sons, Inc. CCC 0270-7314/87/030269-18~.00 While trading halts on the seventh business day prior to the last business day of the contract month, deliveries can be made up to the last business day of the contract month based on the preestablished futures price. The short will have to deliver an eligible bond but may choose which bond to deliver. Thus, if prices drop there is a possibility that the bond being held would http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

Treasury bond futures: Valuing the delivery options

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References (5)

Publisher
Wiley
Copyright
Copyright © 1987 Wiley Periodicals, Inc., A Wiley Company
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/fut.3990070304
Publisher site
See Article on Publisher Site

Abstract

The authors would like to thank Martin Kratchman, Mark Landau, Glenn Picou and especially Scott Levy for greatly increasing our understanding of the delivery options, and David Emanuel and an anonymous referee of this Journal for helpful comments. We would also like to thank Robert K. Y. Chan, Raj Daryanani, Judy Jonson and Susan Ross for their excellent research and programming assistance. ’We say almost because if a coupon drop occurs during the holding period, the investment of the coupon sum does not have a guaranteed return. Marcelle Arak and Laurie S . Goodman are Vice Presidents in the Capital Markets Analysis Department at Citicolp Investment Bank, New York. The Journal of Futures Markets, Vol. 7, No. 3, 269-286 (1987) 0 1987 by John Wiley & Sons, Inc. CCC 0270-7314/87/030269-18~.00 While trading halts on the seventh business day prior to the last business day of the contract month, deliveries can be made up to the last business day of the contract month based on the preestablished futures price. The short will have to deliver an eligible bond but may choose which bond to deliver. Thus, if prices drop there is a possibility that the bond being held would

Journal

The Journal of Futures Markets – Wiley

Published: Jun 1, 1987

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