I am mildly confused by the wording to EOC Problem #2, part B: They obviously want us to use the formula on p. 117 to get the answer. However, the CTD bond isn’t mentioned at all in the problem. Do we always assume that the party to a futures contract delivers the CTD? (It makes sense that they would). This might be a dumb question. I don’t work in fixed income though. Thanks. p.s. anyone else studying on saturday night? am I it?
Please disregard my question… top of p. 116, 2nd paragraph, has the answer.
Saturday night fever?
Something like that… brain-dead. Can’t believe I’m doing this cr*p now.