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- Pricing Treasury futures 1 answer
Am I right that the underlying is a basket of deliverable bonds?
If this is the case, how is the bond future prices actually determined?
If there was only one bond in the deliverable set, the bond future price's theoretical price can be easily determined by non arbitrage theory.
But if the underlying is a basket of bonds, how is its theoretical value being determined ?
And how about its actual market price? is it purely determined by demand and supply ?