第5章 交割最合算的债券

序号息票率债券报价期货报价×转换因子T t 期货到期日的上

一次付息日a

期货到期日的

下一次付息日A

1 4.596.9188.772007-12-32007-10-32007-8-152008-2-15

2 4.75100.992.272007-12-32007-10-32007-8-152008-2-15 35104.91962007-12-32007-10-32007-11-152008-5-15

4 5.25107.08101.432007-12-32007-10-32007-11-152008-5-15

5 5.25107.05101.382007-12-32007-10-32007-8-152008-2-15

6 5.375109.32102.662007-12-32007-10-32007-8-152008-2-15

7 5.5110.25104.762007-12-32007-10-32007-8-152008-2-15 86115.52111.272007-12-32007-10-32007-8-152008-2-15

9 6.125118.11112.852007-12-32007-10-32007-11-152008-5-15

10 6.125119.09112.942007-12-32007-10-32007-8-152008-2-15

11 6.25117.09114.052007-12-32007-10-32007-8-152008-2-15

12 6.25121.3114.652007-12-32007-10-32007-11-152008-5-15

13 6.375121.09116.032007-12-32007-10-32007-8-152008-2-15

14 6.5122.23117.472007-12-32007-10-32007-11-152008-5-15

15 6.625123.92119.092007-12-32007-10-32007-8-152008-2-15

16 6.75125.05120.522007-12-32007-10-32007-8-152008-2-15

17 6.875125.76121.732007-12-32007-10-32007-8-152008-2-15 187.125126.4123.542007-12-32007-10-32007-8-152008-2-15 197.5132.61128.742007-12-32007-10-32007-11-152008-5-15 207.625134.23130.382007-12-32007-10-32007-8-152008-2-15

债券的上一次付息日b 债券的下

一次付息

期货期限内

现券是否付

E-G H-G F-I J-I T-t t时刻期货全价

2007-8-152008-2-150110184491846190.1151087 2007-8-152008-2-150110184491846193.68983696 2007-5-15#########1181821411846196.24725275 2007-5-15#########11818214118461101.6896154 2007-8-152008-2-1501101844918461102.9492935 2007-8-152008-2-1501101844918461104.2666576 2007-8-152008-2-1501101844918461106.4040217 2007-8-152008-2-1501101844918461113.0634783 2007-5-15#########11818214118461113.152**** ****-8-152008-2-1501101844918461114.7708424 2007-8-152008-2-1501101844918461115.9182065 2007-5-15#########11818214118461114.9590659 2007-8-152008-2-1501101844918461117.9355707 2007-5-15#########11818214118461117.7914286 2007-8-152008-2-1501101844918461121.0702989 2007-8-152008-2-1501101844918461122.537663 2007-8-152008-2-1501101844918461123.7850272 2007-8-152008-2-1501101844918461125.6697554 2007-5-15#########11818214118461129.1108791 2007-8-152008-2-1501101844918461132.659212

t时刻债券全价期货期限

内现券付

IRR

97.509184780-45.37% 101.53247280-46.22% 106.8257609 2.5-45.56% 109.0915489 2.625-26.39% 107.74904890-26.65% 110.03569290-31.37% 110.9823370-24.68% 116.3189130-16.75% 120.4568071 3.0625-21.23% 119.90555710-25.62% 117.92220110-10.17% 123.6947011 3.125-27.34% 121.93884510-19.64% 124.7204891 3.25-17.79% 124.80213320-17.89% 125.94877720-16.21% 126.67542120-13.65% 127.34870920-7.89% 135.4836413 3.75-11.68% 135.24528530-11.44%