發(fā)布時(shí)間：2018-02-22 18:00

  本文關(guān)鍵詞： 國債期貨 無套利定價(jià) CTD Hull-White模型 利率樹　出處：《山東大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：1992年,國債期貨試點(diǎn)以失敗告終。2013年9月6日,近二十年過去,我國國債期貨重振旗鼓,合約正式上市流通。最近幾年,我國國債期貨市場(chǎng)逐漸繁榮,種類持續(xù)得以豐富,5年、10年兩種期限的國債期貨相繼問世。2017年2月27日,中金所2年期國債期貨仿真交易合約初次掛牌上市。自此,這3種國債期貨中可交割券的范圍囊括了短、中、長期國債,構(gòu)建與1-10年時(shí)間跨度的國債利率曲線完美匹配的系列債券衍生產(chǎn)品,有助于金融機(jī)構(gòu)進(jìn)一步改善并加強(qiáng)利率的風(fēng)險(xiǎn)管理。黨的十八大積極推進(jìn)金融創(chuàng)新與體制改革,重點(diǎn)指出要加快資本市場(chǎng)多層次、全方位發(fā)展,維護(hù)市場(chǎng)穩(wěn)定。在中國利率市場(chǎng)化變革過程中,國債期貨定價(jià)至關(guān)重要。2016年末,債市出現(xiàn)"黑天鵝",隨著東北特鋼等債券違約事件的發(fā)酵,市場(chǎng)動(dòng)蕩不堪,國債期貨持續(xù)暴跌,過去傳統(tǒng)"買入并持有"標(biāo)簽的現(xiàn)券交易模式已然成為歷史,這也令廣大金融機(jī)構(gòu)清楚地認(rèn)識(shí)到"對(duì)沖"的必要,諸如銀行之類的現(xiàn)券持有者迫切需要通過期貨市場(chǎng)操作實(shí)現(xiàn)現(xiàn)券多頭頭寸對(duì)沖。合理的國債期貨定價(jià),可以盡可能地減少潛在的套利空間,提高期貨市場(chǎng)整體運(yùn)行效率。國債期貨賦予空方選擇可交割債券券種的權(quán)利,多方只能被動(dòng)接受。進(jìn)入交割月,任意時(shí)刻均存在諸多備選債券可用于期貨合約的交割,其票面利率和期限不盡相同�；趪鴤谪浀奶厥庑�(標(biāo)準(zhǔn)券+實(shí)物交割),于期貨空頭而言一定會(huì)選擇交割凈成本最低的券,即最便宜可交割券(CTD)。國債期貨定價(jià)基于無套利定價(jià)原理。本文一方面針對(duì)各可交割債券估計(jì)其隱含回購利率,找到期貨合約標(biāo)的中的最便宜可交割債券(CTD)。對(duì)中債國債收益率曲線進(jìn)行三次樣條插值,分別利用債券市場(chǎng)收盤價(jià)和插值后的即期利率曲線將未來現(xiàn)金流貼現(xiàn)得到的理論價(jià)格進(jìn)行定價(jià)。另一方面充分利用國際上成熟的無套利模型單因素Hull-White模型,該模型考慮了利率均值回歸特性,在保持了解析性質(zhì)的同時(shí),提供了更豐富的波動(dòng)率環(huán)境。以此模型構(gòu)建利率三叉樹模擬瞬時(shí)短期利率,保證了與市場(chǎng)觀察到的初始期限結(jié)構(gòu)相吻合,通過倒推計(jì)算期貨合約在交割日的價(jià)格。經(jīng)過對(duì)TF1603的實(shí)證檢驗(yàn),結(jié)果說明在定價(jià)過程中引入Hull-White利率樹可使定價(jià)更加精確,期貨估值價(jià)差在0.5-0.6元之間。本文的研究在某種程度上對(duì)利率衍生品國債期貨的定價(jià)提供了參考與補(bǔ)充。在此忽略了擇券期權(quán)和擇時(shí)期權(quán),未來若國債期權(quán)上市,則可以利用該期權(quán)產(chǎn)品對(duì)模型進(jìn)行校正,使定價(jià)結(jié)果更精確。
[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.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5

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