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。
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 ensure safe operation and sustainable development of the market.
出处
《中国管理科学》
CSSCI
2008年第2期20-24,共5页
Chinese Journal of Management Science
基金
国家软科学计划资助项目(2005DGQ4D182)
关键词
国债期货
最便宜债券
转换因子
品质选择权
treasury-bond futures
the cheapest-to-deliver
conversion factor
quality options