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最便宜可交割债券是国债期货的重要组成部分,是其理论定价的基础,对其研究有重要意义。本文首先介绍最便宜可交割债券的概念和确定方法,随后针对TF1509国债期货合约详细介绍如何确定最便宜可交割债券并计算出其理论价格,得出存在期现套利的结论。
The cheapest bond deliverable is an important part of bond futures and the basis of its theoretical pricing, which is of great significance to its research. This article first introduces the concept and method of determining the cheapest bond deliverable, and then introduces the TF1509 bond futures contract in detail how to determine the cheapest bond deliverable and calculate the theoretical price, and draws the conclusion that the existing arbitrage.