本文關鍵詞：我國5年期國債期貨定價實證分析　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 國債期貨 持有成本模型 交割期權

【摘要】：中金所于2012年2月13日正式推出了5年期國債期貨仿真交易。這次新的嘗試很大程度上借鑒了美國成熟市場的做法和經驗,與17年前我國國債期貨試點時期最大的區(qū)別在于合約標的改為虛擬的名義標準券,而非實券。隨著我國利率市場化進程的不斷推進,國債期貨在不久之后正式推出應是大勢所趨。本文基于投資者的視角研究我國5年期國債期貨的定價,對于將來國債期貨正式推出以后利用國債期貨進行套期保值和期現套利等具有重要的現實意義。本文主要分為四個部分對我國5年期國債期貨的定價進行了研究。首先,結合我國債券市場的實際情況對中金所5年期國債期貨的合約設計和交易規(guī)則進行分析,通過與美國國債期貨合約進行對比以深入地探討影響期貨定價的相關因素。之后我們分析了國債期貨定價的關鍵要素：轉換因子、最便宜可交割券和交割期權,總結了轉換因子算法和最便宜可交割券的判斷方法。然后分析了國債期貨定價的特殊性和影響定價的現實因素,在持有成本模型的基礎上,結合國債期貨的特性我們推導了國債期貨的定價模型。最后選取仿真合約TF1212進行了實證分析,使用國債期貨的定價模型我們得到TF1212合約的理論價格,發(fā)現期貨結算價格與理論價格較為一致；對于TF1212合約結算價格的異常波動,我們發(fā)現期現套利的收益較大,表明期貨結算價格在少數時間段內較大程度地偏離了理論價格,存在一定的套利機會；仿真合約對于最便宜可交割券的套期保值有效性較高,能夠對沖最便宜可交割券75%左右的價格變動風險,這也表明期貨結算價格與理論價格較為一致。
[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.

【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F812.5;F724.5

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