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#1 (permalink)

06-09-06, 02:04 PM

Aerist

STTG Rookie

Join Date: May 2006

Posts: 11

Zero Coupon Arbitrage

Zero Treasury Coupon 15-Aug-2029 31.52 0.000 15-Aug-2029 5.044

VS.

Zero Treasury Coupon 15-May-2030 30.58 0.000 15-May-2030 5.014
Zero Treasury Coupon 15-May-2030 31.83 0.000 15-May-2030 4.842

How can I exploit the mispricings in these coupons?

What would the return be and is it worth my while?

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