A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method

DOI

10.2991/emeeit-15.2015.62How to use a DOI?

Keywords

treasury bond futures; holding cost method; CTD bond

Abstract

5-year and 10-year term treasury bond futures were launched officially in September 6, 2013 and March 20, 2015, marking the interest rate futures re-board the stage of history. Academic study of treasury bond futures gradually becomes a hot issue, this article describes the difficult and hot issues at home and abroad from the aspects of futures pricing theory, the relationship between the spot and arbitrage.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Susheng Wang
AU  - Yongrui Yu
AU  - Huimin Liu
PY  - 2015/11
DA  - 2015/11
TI  - A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method
BT  - Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology
PB  - Atlantis Press
SP  - 309
EP  - 315
SN  - 2352-538X
UR  - https://doi.org/10.2991/emeeit-15.2015.62
DO  - 10.2991/emeeit-15.2015.62
ID  - Wang2015/11
ER  -