国债期货定价理论研究及实证分析

发布时间：2018-02-22 18:00

本文关键词： 国债期货无套利定价 CTD Hull-White模型利率树　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：1992年,国债期货试点以失败告终。2013年9月6日,近二十年过去,我国国债期货重振旗鼓,合约正式上市流通。最近几年,我国国债期货市场逐渐繁荣,种类持续得以丰富,5年、10年两种期限的国债期货相继问世。2017年2月27日,中金所2年期国债期货仿真交易合约初次挂牌上市。自此,这3种国债期货中可交割券的范围囊括了短、中、长期国债,构建与1-10年时间跨度的国债利率曲线完美匹配的系列债券衍生产品,有助于金融机构进一步改善并加强利率的风险管理。党的十八大积极推进金融创新与体制改革,重点指出要加快资本市场多层次、全方位发展,维护市场稳定。在中国利率市场化变革过程中,国债期货定价至关重要。2016年末,债市出现"黑天鹅",随着东北特钢等债券违约事件的发酵,市场动荡不堪,国债期货持续暴跌,过去传统"买入并持有"标签的现券交易模式已然成为历史,这也令广大金融机构清楚地认识到"对冲"的必要,诸如银行之类的现券持有者迫切需要通过期货市场操作实现现券多头头寸对冲。合理的国债期货定价,可以尽可能地减少潜在的套利空间,提高期货市场整体运行效率。国债期货赋予空方选择可交割债券券种的权利,多方只能被动接受。进入交割月,任意时刻均存在诸多备选债券可用于期货合约的交割,其票面利率和期限不尽相同。基于国债期货的特殊性(标准券+实物交割),于期货空头而言一定会选择交割净成本最低的券,即最便宜可交割券(CTD)。国债期货定价基于无套利定价原理。本文一方面针对各可交割债券估计其隐含回购利率,找到期货合约标的中的最便宜可交割债券(CTD)。对中债国债收益率曲线进行三次样条插值,分别利用债券市场收盘价和插值后的即期利率曲线将未来现金流贴现得到的理论价格进行定价。另一方面充分利用国际上成熟的无套利模型单因素Hull-White模型,该模型考虑了利率均值回归特性,在保持了解析性质的同时,提供了更丰富的波动率环境。以此模型构建利率三叉树模拟瞬时短期利率,保证了与市场观察到的初始期限结构相吻合,通过倒推计算期货合约在交割日的价格。经过对TF1603的实证检验,结果说明在定价过程中引入Hull-White利率树可使定价更加精确,期货估值价差在0.5-0.6元之间。本文的研究在某种程度上对利率衍生品国债期货的定价提供了参考与补充。在此忽略了择券期权和择时期权,未来若国债期权上市,则可以利用该期权产品对模型进行校正,使定价结果更精确。
[Abstract]:In 1992, the national debt futures pilot ended in failure. In September 6th 2013, nearly 20 years later, China's treasury bond futures revived and contracts were officially listed and circulated. In recent years, China's treasury bond futures market has gradually flourished. In February 27th 2017, CICC's 2-year Treasury bond futures contract was first listed on the market. The range of deliverable bonds includes short, medium and long term bonds, and a series of bond derivatives that perfectly match the interest rate curve of the national debt over a period of 1-10 years, It is helpful for financial institutions to further improve and strengthen the risk management of interest rates. The 18 Party Congress actively promotes financial innovation and institutional reform, and points out emphatically that it is necessary to speed up the multi-level and all-round development of the capital market. Maintain market stability. In the process of China's interest rate marketization, the pricing of treasury bonds futures is crucial. In end of 2016, the "Black Swan" appeared in the bond market. With the fermentation of defaults on bonds such as Northeast Special Steel, the market became unstable, and the futures of treasury bonds continued to plummet. In the past, the traditional "buy and hold" label coupon trading model has become a thing of the past, which has also made the majority of financial institutions clearly aware of the need for "hedging". Holders of bonds, such as banks, urgently need to hedge their long positions through futures market operations. Reasonable pricing of Treasury securities futures can minimize the potential for arbitrage. Improving the overall operating efficiency of the futures market. Treasury futures give the empty party the right to choose a deliverable bond bond, which can only be passively accepted by many parties. At any given moment, there are many alternative bonds available for delivery of futures contracts. Based on the particularity of treasury bond futures (standard bond physical delivery, in futures short, they must choose the bond with the lowest net cost, This paper estimates the implied repurchase rate for each deliverable bond based on the no-arbitrage pricing principle. Find the cheapest deliverable bond in the subject matter of futures contract CTD. Cubic spline interpolation for the yield curve of Chinese Treasury bonds. Using the bond market closing price and the interpolated spot interest rate curve to price the theoretical price of the discounted future cash flow respectively. On the other hand, the paper makes full use of the international mature single factor Hull-White model of no arbitrage model. The model takes into account the characteristic of interest rate mean regression and provides a more abundant volatility environment while maintaining the analytical property. The interest rate tritree is used to simulate the instantaneous short-term interest rate. The results of empirical test on TF1603 show that the introduction of Hull-White interest rate tree in the pricing process can make the pricing more accurate, which is consistent with the initial term structure observed in the market, and the price of futures contracts on the delivery date is calculated backwards. The price difference of future valuation is between 0.5-0.6 yuan. To some extent, the research in this paper provides a reference and supplement to the pricing of interest rate derivatives treasury bond futures. Then the option product can be used to correct the model to make the pricing results more accurate.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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