国债期货中的最便宜交割债券分析

中国管理科学 ›› 2008, Vol. 16 ›› Issue (2): 20-24.

国债期货中的最便宜交割债券分析

周子康, 陈芬菲, 张强劲

中国科学院数学与系统科学研究院北京100190

收稿日期:2007-06-21 修回日期:2008-03-16 出版日期:2008-04-30 发布日期:2008-04-30
作者简介:周子康(1944- ),男(汉族),北京人,中科院数学与系统科学研究院,研究员,研究方向:管理科学与工程.
基金资助:
国家软科学计划资助项目(2005DGQ4D182)

Analysis of the Cheapest-to-deliver on Treasury-bond Futures Contracts

ZHOU Zi-kang, CHEN Fen-fei, ZHANG Qiang-jing

Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

Received:2007-06-21 Revised:2008-03-16 Online:2008-04-30 Published:2008-04-30

摘要/Abstract

摘要： 本文围绕国债期货中的最便宜交割债券,详细讨论了最便宜交割债券的选择和可交割债券的交割损失,并以目前最为成熟的美国国债期货市场为例,从实际数据和模拟数据两个方面进行了分析.美国国债期货市场的分析结果,对于未来研究开发我国国债期货定价系统和国债发行系统等关键技术问题,保障国债现货和期货市场的安全运行和可持续发展都具有重要参考意义.

关键词: 国债期货, 最便宜债券, 转换因子, 品质选择权

Abstract: The paper discussed in detail the choices of the Cheapest-to-deliver(CTD) and delivery losses of various deliverable bonds.Using the real market data of U.S.Treasury-bond futures,empirical research and simulation analysis were conducted.The results indicate that various deliverable bonds have dramatic delivery loss and the CTD plays core role by connecting the real delivery,exchange with pricing of futures contracts.Analysis on the Cheapest-to-deliver Treasury-bond Futures has increasingly important theoretical and practical significances in resuming and developing Treasury bond Futures market in China to ensuresafe operation and sustainable development of the market.

Key words: treasury-bond futures, the cheapest-to-deliver, conversion factor, quality options

中图分类号:

F830.91

周子康, 陈芬菲, 张强劲. 国债期货中的最便宜交割债券分析[J]. 中国管理科学, 2008, 16(2): 20-24.

ZHOU Zi-kang, CHEN Fen-fei, ZHANG Qiang-jing. Analysis of the Cheapest-to-deliver on Treasury-bond Futures Contracts[J]. Chinese Journal of Management Science, 2008, 16(2): 20-24.