RBS指数的设计及其套利策略分析

发布时间：2018-01-09 02:08

本文关键词：RBS指数的设计及其套利策略分析　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：利率互换是指交易双方在约定的一段时间内，根据双方签订的合同，在一笔象征性本金数额的基础上互相交换具有不同性质的利率（浮动利率或固定利率）款项的支付。在利率互换交易中，交易双方无论在交易的初期、中期还是末期都不交换本金。本金是交易双方的资产或负债，并不转手，交换的只是利息款项，交换的结果是改变了资产或负债的利率。国债回购除了具有政策功能外，还有一个重要的功能就是融资套利功能。国债回购之所以有融资的功能是因为融资者能够以手中的国债现券为抵押，获取与该现券价值相同或稍低一些的资金，，在回购到期日，融资者只要按事先约定的回购利率支付利息和本金，就可以取回那些抵押的国债现券。这样融资者既能保持对国债现货的长期所有权(从而获取国债的利息收益)，又能获得短期的融通资金。国债、回购和利率互换可以构造一个套利组合，从套利定价的角度来讲，即通过回购融资继而在债券市场上购买债券，从而通过支付固定利率、收取浮动利率的利率互换（IRS多头）锁定融资成本。本文主要分析回购养券与利率互换组成套利组合的收益；构建RBS套利指数，并分析其走势；各个影响因子对其影响的贡献率；构建套利组合的成本等，得出在何种情况下套利是可行的；然后通过对套利指数的预测，得到预测值，并分析在被动投资、基于过去走势和基于预测值几种情况下，不同交易策略的收益。
[Abstract]:Interest rate swaps refer to the payment of interest rates ( floating rate or fixed interest rates ) of different nature on the basis of a nominal principal amount within a specified period of time between the parties to the transaction . In the interest rate swap transactions , the parties do not exchange the principal at the initial , medium or end of the transaction . The principal is the assets or liabilities of both parties and does not transfer , the exchange is only interest payments , and the result of the exchange is the change in the interest rate of the assets or liabilities . In addition to the policy function , the bond buyback has an important function of financing arbitrage . The bond buyback has the function of financing because the financiers are able to obtain funds that are the same as or slightly lower than the value of the bonds in the hands of the treasury bonds . In this way , the financiers will be able to retrieve the bonds present in those mortgages as long as interest and principal are paid in advance of the pre - agreed buyback interest rate . Treasury bonds , buy - back and interest - rate swaps can build a arbitrage portfolio , from the perspective of arbitrage pricing , that is to buy bonds on the bond market , through buyback financing , so as to lock the financing costs by paying fixed interest rates and charging interest - rate swaps ( IRS multi - heads ) for floating rates . In this paper , we mainly analyze the income of the arbitrage portfolio of the repurchased bonds and the interest rate swaps , build the RBS arbitrage index , analyze its trend , the contribution rate of each influence factor to its influence , the cost of constructing the arbitrage portfolio , etc . , and conclude the arbitrage is feasible under the circumstances . Then , through the forecast of the arbitrage index , the forecast value is obtained , and the profit of the different trading strategy is analyzed based on the past trend and the forecast value based on the forecast value .

【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.48;F832.51

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