国债期货最便宜交割债券的确定与实证分析

国债期货是指买卖双方通过交易所,约定在未来的某一时间,按照事先约定的价格和数量,进行券款交割的国债交易方式。虽然交易所对国债期货合约标的做了明确规定,但实际上这种名义标准债券并不存在,其对应的是一篮子可交割债券。由于付息和交割日的不同,可交割债券之间也有很大区别。投资者可以选择成本最低、最有利的债券进行交割,该债券就被称为最便宜可交割债券。最便宜可交割债券可通过隐含回购利率法、净基差法来确定。

The Determination of the Cheapest to Deliver and Empirical Analysis

Treasury futures are that commit two parties to the contract to either buy or sell bonds on a certain date for a certain price through the futures exchange.The exchange makes clear provisions to the futures contract,but in fact the nominal standard bond does not exist,corresponding to a basket of deliverable bonds.Since the interest rate and delivery date are different between the deliverable bonds.Investors can choose the cheapest bond for delivery,and that bond is the cheapest to deliver.We can through the implied repo rate or BNOC to find the cheapest to deliver.