An investigation of cheapest to-deliver on Treasury bond futures contracts

Simon Benninga; Zvi Wiener

doi:10.21314/jcf.1999.030

An investigation of cheapest to-deliver on Treasury bond futures contracts

Simon Benninga
, Zvi Wiener

BA Business Department

Research output: Contribution to journal › Article › peer-review

Abstract

It is commonly believed that the cheapest-to-deliver bond on a Treasury bond futures contract has extremal duration. The authors show that this is not always true. There is an easy rule for cheapest-to-deliver bonds which involves choosing a combination of extremal coupons and maturities. This rule is derived for a flat term structure and its extension to a non-flat term structure is given.

Original language	English
Pages (from-to)	39-55
Number of pages	17
Journal	Journal of Computational Finance
Volume	2
Issue number	3
DOIs	https://doi.org/10.21314/jcf.1999.030
State	Published - 1999

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10.21314/jcf.1999.030

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An investigation of cheapest to-deliver on Treasury bond futures contracts

Abstract

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