An investor gathers the following information about three U. S. Treasury annual coupon bonds:
Given the above information, how can the investor generate an arbitrage profit()
A. Purchase bond 1 while selling bonds 2 and 3.
B. Purchase bonds 2 and 3 and selling bond 1.
C. Purchase bonds 1 and 3 while selling bond 2.
参考答案：A
解析：
By purchasing bond 1 and selling bonds 2 and 3, the investor could obtain an arbitrage profit of $44.62(-10000+384.62+9660). This action will result in positive income today in return for no future obligation - an arbitrage opportunity. Notice that in year 1, the coupon payments from bond 1 will cover the bond 2 par value obligation. In year 2, the coupon payment and principal payment from bond 1 will cover the bond 3 obligation.