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  1. F

    Determination of "Cheapest To Deliver"- Bonds

    Ok thanks for your help. So basically if F=S*e(rT) increases due to lower interest rates, this means that in the payoff formula [Settlement Price*Conversion factor - Quoted price] the Settlement Price will increase? What I have a hard time understanding is the link between the Futures value and...
  2. F

    Determination of "Cheapest To Deliver"- Bonds

    Alright thanks. I don't really get, however, how can an interest rate future be used to hedge. I know that if, for example, an investor wants to lock in an interest rate at which to invest, he must shield himself from declining rates by going long in a specific number of interest futures...
  3. F

    Determination of "Cheapest To Deliver"- Bonds

    Hi David, What is exactly the "most recent settlement price"?
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