long futures position will have implicitly earned the accrued interest on the bond and paid the financing cost
给出:F0(T)=S0e(rc+θ−γ)T, where T is time to expiration, and the futures price, F0(T), is equal to the spot price, S0, compounded at the risk-free rate, rc, plus other carry costs, θ, less carry benefits, γ. Here γ is yield, and 0 is zero.
这是不是说
accrued interest on the bond [size=11.6667px]相当于γ ?
financing cost[size=11.6667px]相当于rc ?
(Institute 232)
Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
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