单选题
An investor gathers the following information about three U. S. Treasury annual coupon bonds:
|
|
Bond 1 |
Bond 2 |
Bond 3 |
|
Maturity |
2 - year |
1 - year |
2 - year |
|
Price |
$10000 |
$384.62 |
$9660 |
|
Coupon |
4% |
0% |
0% |
|
Par Value |
$10000 |
$400 |
$10400 |
Given the above information, how can the investor generate an arbitrage profit? A. Purchase bond 1 while selling bonds 2 and 3. B. Purchase bonds 2 and 3 and selling bond 1. C. Purchase bonds 1 and 3 while selling bond 2.
【正确答案】
A
【答案解析】By purchasing bond 1 and selling bonds 2 and 3, the investor could obtain an arbitrage profit of $44.62(-10000+384.62+9660). This action will result in positive income today in return for no future obligation - an arbitrage opportunity. Notice that in year 1, the coupon payments from bond 1 will cover the bond 2 par value obligation. In year 2, the coupon payment and principal payment from bond 1 will cover the bond 3 obligation.