Interest Rate Futures and Swaps
Free GARP FRM Part I lesson in Financial Markets and Products. 21 min read, ~3,211 words.
T-bond futures allow delivery of any bond with maturity 15 years. Conversion factor (CF) scales bond prices to a 6% benchmark coupon. Cheapest-to-deliver (CTD): minimize delivery cost = quoted bond price - (futures × CF). High coupon and short maturity favor CTD when yields 6%; low coupon and long maturity...
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What this lesson covers
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- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
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