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  本文關(guān)鍵詞：我國(guó)5年期國(guó)債期貨定價(jià)實(shí)證分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 國(guó)債期貨 持有成本模型 交割期權(quán)

【摘要】：中金所于2012年2月13日正式推出了5年期國(guó)債期貨仿真交易。這次新的嘗試很大程度上借鑒了美國(guó)成熟市場(chǎng)的做法和經(jīng)驗(yàn),與17年前我國(guó)國(guó)債期貨試點(diǎn)時(shí)期最大的區(qū)別在于合約標(biāo)的改為虛擬的名義標(biāo)準(zhǔn)券,而非實(shí)券。隨著我國(guó)利率市場(chǎng)化進(jìn)程的不斷推進(jìn),國(guó)債期貨在不久之后正式推出應(yīng)是大勢(shì)所趨。本文基于投資者的視角研究我國(guó)5年期國(guó)債期貨的定價(jià),對(duì)于將來(lái)國(guó)債期貨正式推出以后利用國(guó)債期貨進(jìn)行套期保值和期現(xiàn)套利等具有重要的現(xiàn)實(shí)意義。本文主要分為四個(gè)部分對(duì)我國(guó)5年期國(guó)債期貨的定價(jià)進(jìn)行了研究。首先,結(jié)合我國(guó)債券市場(chǎng)的實(shí)際情況對(duì)中金所5年期國(guó)債期貨的合約設(shè)計(jì)和交易規(guī)則進(jìn)行分析,通過(guò)與美國(guó)國(guó)債期貨合約進(jìn)行對(duì)比以深入地探討影響期貨定價(jià)的相關(guān)因素。之后我們分析了國(guó)債期貨定價(jià)的關(guān)鍵要素：轉(zhuǎn)換因子、最便宜可交割券和交割期權(quán),總結(jié)了轉(zhuǎn)換因子算法和最便宜可交割券的判斷方法。然后分析了國(guó)債期貨定價(jià)的特殊性和影響定價(jià)的現(xiàn)實(shí)因素,在持有成本模型的基礎(chǔ)上,結(jié)合國(guó)債期貨的特性我們推導(dǎo)了國(guó)債期貨的定價(jià)模型。最后選取仿真合約TF1212進(jìn)行了實(shí)證分析,使用國(guó)債期貨的定價(jià)模型我們得到TF1212合約的理論價(jià)格,發(fā)現(xiàn)期貨結(jié)算價(jià)格與理論價(jià)格較為一致；對(duì)于TF1212合約結(jié)算價(jià)格的異常波動(dòng),我們發(fā)現(xiàn)期現(xiàn)套利的收益較大,表明期貨結(jié)算價(jià)格在少數(shù)時(shí)間段內(nèi)較大程度地偏離了理論價(jià)格,存在一定的套利機(jī)會(huì)；仿真合約對(duì)于最便宜可交割券的套期保值有效性較高,能夠?qū)�沖最便宜可交割券75%左右的價(jià)格變動(dòng)風(fēng)險(xiǎn),這也表明期貨結(jié)算價(jià)格與理論價(jià)格較為一致。
[Abstract]:The gold in February 13, 2012 officially launched the 5 year bond futures trading. This new attempt to borrow heavily from the mature market in the United States practice and experience, the biggest difference with our country 17 years ago during the pilot period in bond futures contracts changed the standard coupon for the virtual name, rather than real with coupons. China's interest rate market advancement, bond futures officially launched in the near future is to represent the general trend. This paper from the perspective of investors on China's 5 year bond futures pricing for future bond futures officially launched after using the national debt futures for hedging and arbitrage has important practical significance. This paper divided into four parts on the pricing of bond futures in China for 5 years. First, the contract design combined with the actual situation of China's bond market for gold in the 5 - year treasury bond futures. Analysis and trading rules, compared with the U.S. Treasury futures contracts to explore the influencing factors of futures pricing deeply. Then we analyzed the key elements of bond futures pricing: conversion factor, the cheapest deliverable coupons and delivery options, summed up the conversion factor algorithm and the cheapest deliverable coupons and then estimate. Analysis of bond futures pricing particularity and realistic factors affecting pricing, based on the cost model, combined with the characteristics of treasury bond futures. We derive the pricing model of bond futures contract TF1212 simulation. Finally selected for empirical analysis, pricing model using bond futures price theory we obtain the TF1212 contracts, found the futures settlement the price and the theoretical price is consistent; for the abnormal fluctuation of TF1212 contract settlement price, we found that arbitrage gains larger scale The futures settlement price in a period of time greatly deviated from the theoretical price, there are certain arbitrage opportunities; simulation of contracts for the cheapest deliverable coupons of the hedging effectiveness is higher, can hedge the cheapest deliverable coupons about 75% of the risk of price changes, it also shows that the futures settlement price and the theoretical price is more favorable.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F812.5;F724.5

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