b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
Cyrix (The CPU) 于 (Tue Jan 1 16:16:16 2008) 提到:
有一家推荐一个idea:
To take advantage of the cheapness of the June Futures, the trader can sell
rich issues in early 2014s vusus the five- and ten- year futures or their
CTDs
所以可以这样Trade
He can sell the 4.25s of 5/2014 to buy 4.75s of 5/2012 and 4.25s of 11/2014
on a cash and duration neutral basis to pick up about 3bp in yield.
有几处不明：
1. five - and ten- year futures 的5,10是指Future expiration还是underlying
bond的 |
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