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  1. M

    p103 cash and carry arbitrage example

    Many thanks David, Quite clear. I think it was helpful to spend some time around this even if it is out of scope as you mention.
  2. M

    p103 cash and carry arbitrage example

    Hello, Looking at the Cash & Carry example on page 103 (topic 3 notes) I don't understand why buy the commodity at aprox 9,90. I see 9,90$ is the spot * exp (-lease*T) but why would be able to buy at this discounted price instead of the cash price which is 10$. Many thanks Martim
  3. M

    The level and shape of the YC and the CTD decision? (p61)

    thank you for the insight David, it would be nice to update the notes PDF on page 61 with your explanation on this post: "At high yields, the CTD bonds will tend to trade at a discount and the short wants to exploit the distortion (i.e., between market price and model price with yield=6%); the...
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