我国5年期国债期货定价实证分析

发布时间：2017-12-31 21:13

本文关键词：我国5年期国债期货定价实证分析　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：中金所于2012年2月13日正式推出了5年期国债期货仿真交易。这次新的尝试很大程度上借鉴了美国成熟市场的做法和经验,与17年前我国国债期货试点时期最大的区别在于合约标的改为虚拟的名义标准券,而非实券。随着我国利率市场化进程的不断推进,国债期货在不久之后正式推出应是大势所趋。本文基于投资者的视角研究我国5年期国债期货的定价,对于将来国债期货正式推出以后利用国债期货进行套期保值和期现套利等具有重要的现实意义。本文主要分为四个部分对我国5年期国债期货的定价进行了研究。首先,结合我国债券市场的实际情况对中金所5年期国债期货的合约设计和交易规则进行分析,通过与美国国债期货合约进行对比以深入地探讨影响期货定价的相关因素。之后我们分析了国债期货定价的关键要素：转换因子、最便宜可交割券和交割期权,总结了转换因子算法和最便宜可交割券的判断方法。然后分析了国债期货定价的特殊性和影响定价的现实因素,在持有成本模型的基础上,结合国债期货的特性我们推导了国债期货的定价模型。最后选取仿真合约TF1212进行了实证分析,使用国债期货的定价模型我们得到TF1212合约的理论价格,发现期货结算价格与理论价格较为一致；对于TF1212合约结算价格的异常波动,我们发现期现套利的收益较大,表明期货结算价格在少数时间段内较大程度地偏离了理论价格,存在一定的套利机会；仿真合约对于最便宜可交割券的套期保值有效性较高,能够对冲最便宜可交割券75%左右的价格变动风险,这也表明期货结算价格与理论价格较为一致。
[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.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F812.5;F724.5

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