Situation
CSI 300 index
Maturity yield
A
S T > H 1
Y ⋅ T ⋅ ( 1 + R 0 + R C ⋅ J )
B
K 1 ≤ S T ≤ H 1
Y ⋅ T ⋅ ( 1 + R 0 + S T − K 1 S 0 ⋅ J )
C
S 0 < S T < K 1
Y ⋅ T ⋅ ( 1 + R 0 )
D
K 2 < S T ≤ S 0
E
H 2 ≤ S T ≤ K 2
Y ⋅ T ⋅ ( 1 + R 0 + K 2 − S T S 0 ⋅ J )
F
S T < H 2