[求助]arbitrage using credit spread options

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<p>2007&nbsp;Notes Credit&nbsp;Derivatives Topic 55 Page 154</p><p>...&nbsp;if the strike spreads in the put and call were 40 basis points above LIBOR, and the bond could be sold forward at a rate of 25 basis points above LIBOR,the arbitrageur would sell the credit spread put, buy the credit spread call, and sell the bond forward. The arbitrage profit would be 40-25 basis points. <br/>为什么采用这样的操作能得到40个基点呢？<br/>实在惭愧！先谢过 ……</p>

[此贴子已经被作者于2008-8-18 16:27:16编辑过]

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关键词：Arbitrage options spread Credit Option Using options Credit Arbitrage spread

<p>credit swap其实可以看成CALL(PUT) ON FUTURE</p><p>long&nbsp;call+&nbsp;long put = long bond forward at (libor+40bp)</p><p>long bond forward at (libor+40bp) + short bond forward at (libor+25bp)</p><p>可以了吧</p>

[此贴子已经被作者于2008-8-19 7:34:23编辑过]

<p>多谢前辈指点~~</p>

应该LONG CALL +SHORT PUT = LONG UNDERLYING ASSET,反正大概思路就是这个.

1# rn11

40-25=15

15个基点阿。。不是40