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. No arbitrage profit exists.
C. Purchase bonds 2 and 3 while selling bond 1.
参考答案：C
解析：
By purchasing bonds 2 and 3 and selling bond 1, the investor could obtain a arbitrage profit of $65.38 (10000-374.62-9560). This action will result in positive income today in return for no future obligation—an arbitrage opportunity. Notice that in year 1, the principal payment from bond 2 will cover the bond 1 coupon obligation. In year 2, the coupon payment and principal obligation for bond 1 will be covered by the principal payment from bond 3.
