Documents Prices and anomaly in the large and liquid Treasury bond market. The prices of callable bonds appear to be incompatible with the prices of non-cancellable treasures and seems to exist an arbitrage opportunity. Allows instructors, the Treasury market, the concept of creating synthetic instruments to introduce principles of arbitrage and institutional frictions in the bond markets.

Documents Prices and anomaly in the large and liquid Treasury bond market. The prices of callable bonds appear to be incompatible with the prices of non-cancellable treasures and seems to exist an arbitrage opportunity. Allows instructors, the Treasury market, the concept of creating synthetic instruments to introduce principles of arbitrage and institutional frictions in the bond markets.
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from
Michael E. Edleson,
Peter Tufano
Source: Harvard Business School
9 sides.
Release Date: 08 January, 1993. Prod #: 293093-PDF-ENG
Arbitrage in the Government Bond Market? HBR case solution