<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]