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Hi all, I've tried searching the forum for the answer, but of no avail. So, regarding questions about determining "cheapest-to-deliver" bonds .. I am quite confused by the solutions provided above (taken from Handbook), which they compared the ratio of Quoted Bond Price to Conversion...

In reference to; R19.P1.T3.Hull Study Notes How do we arrive at the conclusion below...am a little stuck on this...any inputs/insights would be much appreciated .. If bond yields are less than 6%, this favors delivery of high-coupon, short-maturity bonds; i.e., bonds with lower durations...

Hi David, Long time no see! How are you doing! I have a question about this topic, which is in Hull's Chapter 6.2, Edition 7, and also a topic in FRM part1. In Hull's book, first, he calculated the dirty price by adding quoted bond price and accrued interest rate. Then, using F0=(S0-I)e^rT...