我国5年期国债期货合约定价研究

发布时间：2018-01-03 11:25

本文关键词：我国5年期国债期货合约定价研究　出处：《浙江工商大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国5年期国债期货合约标的资产是一篮子可交割债券,允许卖方在交割时选择最便宜债券进行交割,从而存在隐含选择权价值,该选择权价值必然会反映在国债期货合约价格上。故有别于股指期货及一般商品期货合约定价,国债期货合约理论价格的确定相对较为复杂。为此,本文研究我国5年期国债期货合约的理论价格确定问题,对于提升我国国债期货价格发现功能的有效性,以及对于投资者利用国债期货进行套利和套期保值等交易,具有重要的理论和实际意义。本文根据中金所设计的5年期国债期货合约,通过分析我国国债期货市场与标的物市场的发展状况,比较中美两国国债期货交割机制的差异,详细探讨了我国国债期货合约隐含选择权特点并据此对隐含选择权进行定价,从而提供更加精确的国债期货理论价格模型。在理论分析的基础上,本文通过探讨中债银行间国债指数、上证5年期国债指数与国债期货价格之间的关系确定国债期货标的物价格的选取。接着构建线性回归模型分析隐含选择权与国债期货价格的关系,并以TF1612合约的具体数据研究国债期货定价效果。研究发现,国债期货价格与标的物价格存在联动性,国债期货价格受到银行间国债价格的影响强于交易所国债价格,即国债期货标的物价格选择银行间国债价格;隐含选择权价值对国债期货价格存在显著影响;不考虑隐含选择权的国债期货理论价格与期货结算价较为一致,但两者之间存在一定程度的偏差,而基于隐含选择权价值修正后的理论价格与结算价之间的差距明显减小,即证明隐含选择权价值能修正国债期货定价偏差。
[Abstract]:The underlying assets of China's 5-year Treasury bond futures contract are a basket of deliverable bonds, which allows the seller to choose the cheapest bonds for delivery at the time of delivery, thus the implied option value exists. The value of this option will inevitably be reflected in the price of national debt futures contracts. Therefore, different from the pricing of stock index futures and general commodity futures contracts, the determination of theoretical prices of national debt futures contracts is relatively complex. This paper studies the theoretical price determination of 5-year Treasury bond futures contract in China, which is effective to enhance the function of the discovery of the futures price of China's treasury bonds. And it has important theoretical and practical significance for investors to carry out arbitrage and hedging transactions using treasury bond futures. This paper designs a 5-year Treasury bond futures contract based on CICC. By analyzing the development of the treasury bond futures market and the subject-matter market in China, the paper compares the differences of the futures delivery mechanism between China and the United States. This paper discusses in detail the characteristics of implied option of futures contract of treasury bonds in China and pricing the implied option in order to provide a more accurate theoretical price model of treasury bond futures on the basis of theoretical analysis. This paper discusses the inter-bank bond index of Chinese debt. The relationship between Shanghai 5-year Treasury bond index and the futures price of treasury bonds determines the choice of the price of the subject matter of treasury bonds futures. Then a linear regression model is constructed to analyze the relationship between implied options and the futures prices of treasury bonds. And using the specific data of TF1612 contract to study the pricing effect of treasury bond futures. The study found that the bond futures price and the price of the subject matter have a linkage. The price of treasury bond futures is strongly influenced by the price of inter-bank treasury bonds, that is, the price of the subject matter of treasury bonds is chosen as the price of inter-bank bonds. The value of implied option has a significant effect on the futures price of treasury bonds; The theoretical price of treasury bond futures which does not consider the implied option is more consistent with the futures settlement price, but there is a certain degree of deviation between them. The difference between the theoretical price and the settlement price is obviously reduced, that is to say, the implied option value can correct the pricing deviation of national debt futures.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F812.5;F724.5

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