一、6.3周一上午US_Treasury_and_Future_market_0522_Chinese概要1.pptVIP

Treasury Future – Pricing 国债期货 – 定价 treasury future has a non-arbitrary relationship to the cash market 国库期货和现货市场有特定的关系 Conversion factor (CF) brings all deliverable bonds to the same yield level, 6% 转换因子使得所有交割债券有相同的收益率水平，6％ CTD cash bond = future * CF 最便宜交割现金债券=期货* 转换因子 Cost of Carry: financing cost of holding the cash bond until delivery: 成本结转：现金债券持有到交付时的融资成本： financing cost = (Pd * repo * days) / (360*100) 融资成本=（Pd*回购*天数）/（360* 100）pd = dirty price of cash bond (clean + accrued interest) Pd=现金债券全价（净价+应计利息） Gross basis is the difference between future and cash price 总额基准是期货与现货价格之间的差异 future price (adjusted): 104.136 期货价格（经调整）：104.136 bond price at settlement: 104.240 债券结算价格：104.240 gross basis: 0.104 总额基准：0.104 Treasury Future – Pricing 国债期货 – 定价 Implied repo rate 引伸回购利率If a trader buys the bond in the cash market and delivers the same into the future contract on the delivery day, the trader will make a gain or loss equal to the net basis 如果一个交易者在现货市场购买债券，并在交割日交付相同的债券到期货合约，交易者的收益或亏损等于净额基准 Net basis = gross basis – carry (0.104 – 0.120 = -0.016) 按净额基准= 总额基准- 结转 The return at expiration on this arbitrage is called implied repo rate 这种在到期日套利的收益被称为到期回报. IRR = ((F(t) – PD(t))/Pd(t)) * (360 / (s-d)) F(t) = proceeds from delivery F（t）=所得款项交付 Pd(t) = dirty price of cash bond Pd（T）=现金债券的全价 Days = days between settlement days and delivery day Days=结算日和交割日之间的天数 Risk - 97% of DV01 can be explained by CTD 风险 - DV01的97％可以用最便宜交割解释 Arbitrage free relationships from cash bond to future: 现金债券和期货无套利关系： Buy spot CTD bonds and collect any coupons 购买CTD债券现货，并收集任何息票 Go short the bond future 做空债券期货 Hold the CTD bond and delivery into the future contract 持有CTD债券然后交付到期货合同 Treasury Future – trading Strategies 国债期货 – 交易策略 Curve trading 曲线交易 Basis trading: the basis increases or decreases due to the varying relationship be