章節 2 Link Between Bond Basis & Money Market Basis
There is a link between bond basis and money market basis. In particular, we can see that:
R(B) = R (M) * (365/360)
R(M) = R(B)* (360/365)
Where:
R(B) = interest rate on bond basis
R(M)= interest rate on money market basis
Why?
Money market basis yields roughly 1.389 (=365/360-1) more interest than bond basis for the same nominal interest rate. In other words, to generate the same amount of interest, R(B) should be proportionately higher
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