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Quantitative Finance · Glossaire

Qu'est-ce que « Cheapest-to-deliver » ?

Definition 6.5 Markets II: Rates, FX and Credit · Chapitre 6 — Bond Futures

The cheapest-to-deliver (CTD) is the note in the basket that costs the short least to buy and deliver: the one with the lowest price relative to what it will be invoiced at, equivalently, the highest implied repo rate (Definition 6.7).

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