国债期货易策略交运
臧大年
用洲期货交欧所 (Eu易re)x 深顾资 第问六中国期届货析分师大，杭会州
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20107 / 2–080/1 – 2200/3/616– 2006 7//15 023/0/242 20–055/1/ 1599/79/4– 20 30//223 1997//2 1– 1979/93/ 199/1/11 -0 199/7131/资深 顾， 欧洲期货交易问（Eu所ex）r独立董事，上 海证东货期项 目问，上海顾货期易交 所副经总，台湾证券集理保管公中司 总副理经台，湾货交易所期 主任副台湾，货交易期所筹处 教备授兼所长系、主任，正大中财学务金融系学
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債券到
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HF
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84.00to 3.001
5国债
期 货sv. 指期股货
割 交oCnvrseionF atoc r基差持有 成本股 指期 现金结算货B sai s=C – 视现F金股利还是股票股 利 而定 国期货 债实交割物 交可券割（Dleverialb eoBnd） 转s比换（例ConevsironFa ctro，FC ）Bsai s=C – F * CF每 日息利得 所 ＝ * 1I36/
每5融资日利成息 本 ＝( C AI+) *RP(/100) (1/*63)
5殖正利率曲时，线crary> 0 ， 持有债券期的间息利所 得> 融资利息负殖 利率曲时，线acry
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交易策
•略 投機交
易 •利交套易– 期、現貨套利貨 (BaissT rdain)g– 隱含波 率套利動(Vo laitily Arbittarg) •e 險交避 易– 多頭避險– 空 頭險 避 –結型構商避險品– 他其生衍商部位避品
險• 價差易 交S(rpeaidn) g•Othe rppAilatcins for Pootrolfo Minageamen t –iYld Enehnacmeen t –uDaritn oMnagameent –ssAt Aleloa
ctinow
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B
yiung ndaS leiln tgheBa ssi「
時同」或（幾乎同「」）交易現貨債券時債與券期t貨 otakead vntaga eo exfpetedcc hnaes in tghebasis
“uyb ht basesi”g或 oonlgth eba ssi：”買現貨債券賣公、期債貨， 比例： : CF
“1sel lth besis”或gaos hotrt e hasisb：”賣貨現債、買公債期貨券比例，：1 C:F1.
n Aasye awy t oerembem: rwathevrepos iiot nyuo tak en thieb ond si th eositipno yuo ake tn thieb ais.s2. If fu tuer san bdodns rae combied inna r ait eouqal toth e bonds C’F,a cha nge inthe bo d’nsb siasof an yigevn amuot niwl lyeli dht sameep oritfr geardlesso f hewthe rth echagenin tehbasis ocmse fom rac anghe i nth epirc ofe te bhodn or caahgn ie nte fuhurtse ricpe ,na redagdlerss f whoteehrbon dna fudtrue spicesrg eenrall riseyo generrall fyal.l
L
ogn th ebasis
：Csha nad carryarb traie: g貨現價相格太對、期貨價低相對格太
S高hrto te bhaiss
R：eversec sa han carrdya bitrrgea :貨價期相對格太、低貨現格價對太高
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公債期貨
險避作操如何
量衡率風險?利
.1Dur aitn
Maoaulacy Druatoin D
urtain o
tP
t t CPDurati
n o r
f is tht teme ibewetne on wna adcash fl ow( maesredu n iyaer)s
oMidied
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ePcrne Pt rcieCh nag e ModiiedfD ruatin o Yile dhCagneDV 0
1
Duatroi n/ 100 arMekt Vaule10
0
1 eprcetnae gponti(i. e,. %)1
= 100
bps
Duationr/ 100Fac eA monut/001 Full rice P100
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範例 現
貨債: 含券價 (c息eln pracei+ carcuedi nterets)= 28193.16 Mdifoei ddurtian:o1 .052 面額:1 0,0,0000
V 01 D
10.
52/ 100 1 ,00,00001/00128.93161
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0 1,321.6
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如計何算險避率
期比貨位部價格變的動For a gi ven hcnge an riae
=
t債券部位的
格價動
N變umeb rfof utuersc notactr sodl chngaei valuen o onef utufer costnrac t hancg in valeueo bfodnp otfrlio
避o比率險（HdeegR aio）
tNumbero futfurs eolds
hacgnei nvalueof ondb oprftlooi chanegi nvalue o onfefu utes crnoratct
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0VD10 o fobd ponrtfoiloNu ber omffut ruessol d V0D1o futfreusU e so furDtioan
umNerbof ftureu ssol Dudratin oof bndop rtooflo iMrkate avuel of portfolo iD urtiona fof uurte sF uture prices c onrtac tpa rmaout n010
Bnd foutruse hve neathirep rieodicc sha payemnts no rayiel dot mtarity. uThi mesna sthatb ondf tuuesr hae nvo amkrt velauei ntehs ma seneseth at a bond hsaa m raek tavule. lsoA i, temasn hta te cwnaot nclaulcate ht eurationd f a outurfs eKa s w deo froa c ash obdn.
reatingT a ond bufutresco ntrcta fro thepu pose rf oeasumrignprice ri s ksa ifi t ahst he optfolroeiqivalunt evauleof $5,0 00,00 fa0e vcalueof n acaual bto
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方法
： 一期契約貨DV0 1= 最有利割券交D 01V/ 轉因子換避 比率 險= 券債現組貨合 DV0 /1 公期債 貨V0D 不1會用期貨到價 方法二： 期格契約貨續存間期 =最有交割利存續期間 Di券vde ihe trpodctu f tho eprotfloi’so maketr vlueaa ndi stdu atrionb tye hropudcto tfh portfolieo-qeuivalen tavle ouft hefu trus eKan di s dturaitno 會.用到貨期格價
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範
例:
•現貨債券格價(含息 價)= 9 .4922 • 債9券現貨組 =合4.29 • C DT 價 = 1格0.77147 •TCD oMidfedi Duration 3=8. 金額 7 =0 m1lliino期 價格貨= 1 80.68795CT D換因子 轉 =095.8
2 •CT DVD10= 3(.7/801 * 000,100/1000* 1 074.71 ) /7 10 = 41.05
Num5erb offu utrsesold
DV0 1of uturefs
DV0
1o bofdn prtofoli oV01Dof fuutrs
eCT
DD V1 0FC
.429 1 0,0000,0 0 9.9429 2 100 1 0 0 4,26 150 Num0br ef outurfe sslod 9 .38 41.55 4733. 賣出698位單 095.82www.eurex
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险避基本的则与原概念两
（个以或的）上位部组合- 相 关→ 反 操向 作 对→冲现货
主、为货为从期（ 或） 辅“被动 现”货位部先
在一一卖买会，冲冲都 了要光干！？
不嘛要太多金融工需程例如 「債基金」
期货与券货同现工为，具 主动平行的
两部位几个乎时 同金工程融应用较多 立建
例如
「冲对金基」 「、本保基金
」
使期货用险避原因的： .1部 位，大交成本易含冲（成本击）考的虑，局考的虑
套比买空保操作更加有率、成效也本较。低货期的流高性动套保使以可很在短时内间成完对组合 保的护，风险消除后迅速恢复原可来仓位
2.
法限制规 现货动少期、货动多
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使用式：機械方式避 vs.險動態操作
益 组合损益
损一第作 二第作
放大
现部货位损益
播種
貨：期1
收
成貨期0
：播種期 ：1貨
收 期貨： 成
0指数
縮小
動態操
作現貨身本不是或01概念
機的械式作操
- 国年假中
-
休
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现货
指数期
货 左
手
期货位 部=0
期货位 部 1=0
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隱8含波率套利動 (oValtilityA ritrbga)e
he BTheviao orfBo n dBasi is likse naOp itn
Co/ F
C基 = 差現貨價 –（格經換轉後）之期價貨 格Basis= C –F （他其） Bass =iC – F *FC（公期債貨）
/CC
F
續存間最大期
Y
eid Cl C/F
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F貨期現貨價與格係
關 到-期，the bon時 ditwht ehlo wst eocnevter prdce is iTCD.C/
C, F
F
續存期最大 間存期間續介中間 於續期間最小存
-
到期之，虛線前代期貨
表價格，F c noervegst toh ecnvoerte dpire ocfCT Da texpi aritno- efoBr eepxrationi futu,es rrpic treack somthoy lcuver dadsedhli ne htt aies lbeow thel lowst coevenredt cas phriceo f teh 3 cmpetiong onds.b Jutsho mwuch beol dweendspo n : -caryr, - hw volaotli yieeld sna dyeid splreadsa re expcetdeto be, an,dt erhfero, eohwl ikeylit s ihat thtreewil l eb ahancge i thenC T. - 如果市場D率利在交差附近，期點貨格價 housld behav like ea beld nf tohet o bonwd.sThe gap ebwten ehe ctonveretdc as phrcise endstt owide nnit e nhegihorhoob df tho esiwch topnits.It i sat tehesp onis ttha untcrtaeint yaobu twht abodnw il be lTC iDs graeest. tAsa re ults,it i sat the e spiotsnt htathe valeuo tfehop tino ss ireatges.t
交叉
點1
叉交點
2該應是曲，線而直非線存
期間大續債券的票：面率利低，期較限較長
存續
期間小的券債票：面率較高，期限利短較
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公期貨的債基
賣差方
$151rc= 3 %$1 13( 115-2) r=c3 5. $2%
不可前 提贖回司公債
買方
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發券 行人 公司
可前提贖回 公 債
司債持券有人投資人
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方買選
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前 贖提回
賣方權
方賣交割選擇權價值
賣方持
有成本
債
券期貨
WFO/= $11 5rc= 3%
With
ut
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買n方
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1基1 115
3債券期貨 方賣
現價
貨貨期價(
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rtaoble 策α略分配
到大股型组投资金为的63
%
3%6
2%6 型大股10 %原 要先 投大型股入 资的 26金 大%型 10股 S%&50P0指数 期 货（ ）多小 型投 组股产 生α罗素2 000指 数货期 空）
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Erupean oixedFI cnom eYeild Crue vBo“x”S tatergy
– T SEru-BTP o/L T urE-oBP TuFurets iyel dcuvresp radev . suroESch-az / tuEorB-nu dFutuesr iyld cuever preadsAn
thor eotentiap lalhap egenartni gtrsateygis t ortde ahe reltaivet ieyd lurcve ovememnt so fa trpileA -atre Edruopenago evnrenmt yeli cdruevrepre entsedby het Eru-Schoaz /t uroEB-nu dpsrae vdesru asnon- tripl e-rateAdE rupoenagovern emn tonb ydile durve rcerpsented ey bht eST uro-EBTP /L Turo-ETB PFutres upreads .or Fexmalep ,ah deg eunf mandgeraha tse vhew thiatthe B TP iyed lcuve wirl lflattne adnthe G rmea ngvernmone tyieldc ruve tseeenpover t e sahe mprieod:T herforee t,h ehedegf udn maagen srells 931ST Euro -BTP utFrue s/ byu 1s00L EuTo-BTrPF turue snd abuys4 75E urSohctazF uutes r /slls e00 Euro-Bu1n dFuturseas a uEorpan yeeli curvd “bex” sorattegy.
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国债期货易策略交运
臧大年
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2
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易交的標No itonla sorh-, mtdeiu- mr oonl-tergm dbets ecuitriesissued b y -th Feedrae lRpeblic uof erGman, - yhe tRepulicbo ftIla yor 券發行債 日 -the wissS Cnoefdeatron i年
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C
84.00to 3.001
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期 货sv. 指期股货
割 交oCnvrseionF atoc r基差持有 成本股 指期 现金结算货B sai s=C – 视现F金股利还是股票股 利 而定 国期货 债实交割物 交可券割（Dleverialb eoBnd） 转s比换（例ConevsironFa ctro，FC ）Bsai s=C – F * CF每 日息利得 所 ＝ * 1I36/
每5融资日利成息 本 ＝( C AI+) *RP(/100) (1/*63)
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交易策
•略 投機交
易 •利交套易– 期、現貨套利貨 (BaissT rdain)g– 隱含波 率套利動(Vo laitily Arbittarg) •e 險交避 易– 多頭避險– 空 頭險 避 –結型構商避險品– 他其生衍商部位避品
險• 價差易 交S(rpeaidn) g•Othe rppAilatcins for Pootrolfo Minageamen t –iYld Enehnacmeen t –uDaritn oMnagameent –ssAt Aleloa
ctinow
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B
yiung ndaS leiln tgheBa ssi「
時同」或（幾乎同「」）交易現貨債券時債與券期t貨 otakead vntaga eo exfpetedcc hnaes in tghebasis
“uyb ht basesi”g或 oonlgth eba ssi：”買現貨債券賣公、期債貨， 比例： : CF
“1sel lth besis”或gaos hotrt e hasisb：”賣貨現債、買公債期貨券比例，：1 C:F1.
n Aasye awy t oerembem: rwathevrepos iiot nyuo tak en thieb ond si th eositipno yuo ake tn thieb ais.s2. If fu tuer san bdodns rae combied inna r ait eouqal toth e bonds C’F,a cha nge inthe bo d’nsb siasof an yigevn amuot niwl lyeli dht sameep oritfr geardlesso f hewthe rth echagenin tehbasis ocmse fom rac anghe i nth epirc ofe te bhodn or caahgn ie nte fuhurtse ricpe ,na redagdlerss f whoteehrbon dna fudtrue spicesrg eenrall riseyo generrall fyal.l
L
ogn th ebasis
：Csha nad carryarb traie: g貨現價相格太對、期貨價低相對格太
S高hrto te bhaiss
R：eversec sa han carrdya bitrrgea :貨價期相對格太、低貨現格價對太高
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9
公債期貨
險避作操如何
量衡率風險?利
.1Dur aitn
Maoaulacy Druatoin D
urtain o
tP
t t CPDurati
n o r
f is tht teme ibewetne on wna adcash fl ow( maesredu n iyaer)s
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0
1 eprcetnae gponti(i. e,. %)1
= 100
bps
Duationr/ 100Fac eA monut/001 Full rice P100
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範例 現
貨債: 含券價 (c息eln pracei+ carcuedi nterets)= 28193.16 Mdifoei ddurtian:o1 .052 面額:1 0,0,0000
V 01 D
10.
52/ 100 1 ,00,00001/00128.93161
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0 1,321.6
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如計何算險避率
期比貨位部價格變的動For a gi ven hcnge an riae
=
t債券部位的
格價動
N變umeb rfof utuersc notactr sodl chngaei valuen o onef utufer costnrac t hancg in valeueo bfodnp otfrlio
避o比率險（HdeegR aio）
tNumbero futfurs eolds
hacgnei nvalueof ondb oprftlooi chanegi nvalue o onfefu utes crnoratct
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Bnd foutruse hve neathirep rieodicc sha payemnts no rayiel dot mtarity. uThi mesna sthatb ondf tuuesr hae nvo amkrt velauei ntehs ma seneseth at a bond hsaa m raek tavule. lsoA i, temasn hta te cwnaot nclaulcate ht eurationd f a outurfs eKa s w deo froa c ash obdn.
reatingT a ond bufutresco ntrcta fro thepu pose rf oeasumrignprice ri s ksa ifi t ahst he optfolroeiqivalunt evauleof $5,0 00,00 fa0e vcalueof n acaual bto
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方法
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範
例:
•現貨債券格價(含息 價)= 9 .4922 • 債9券現貨組 =合4.29 • C DT 價 = 1格0.77147 •TCD oMidfedi Duration 3=8. 金額 7 =0 m1lliino期 價格貨= 1 80.68795CT D換因子 轉 =095.8
2 •CT DVD10= 3(.7/801 * 000,100/1000* 1 074.71 ) /7 10 = 41.05
Num5erb offu utrsesold
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DV0
1o bofdn prtofoli oV01Dof fuutrs
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险避基本的则与原概念两
（个以或的）上位部组合- 相 关→ 反 操向 作 对→冲现货
主、为货为从期（ 或） 辅“被动 现”货位部先
在一一卖买会，冲冲都 了要光干！？
不嘛要太多金融工需程例如 「債基金」
期货与券货同现工为，具 主动平行的
两部位几个乎时 同金工程融应用较多 立建
例如
「冲对金基」 「、本保基金
」
使期货用险避原因的： .1部 位，大交成本易含冲（成本击）考的虑，局考的虑
套比买空保操作更加有率、成效也本较。低货期的流高性动套保使以可很在短时内间成完对组合 保的护，风险消除后迅速恢复原可来仓位
2.
法限制规 现货动少期、货动多
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16
使用式：機械方式避 vs.險動態操作
益 组合损益
损一第作 二第作
放大
现部货位损益
播種
貨：期1
收
成貨期0
：播種期 ：1貨
收 期貨： 成
0指数
縮小
動態操
作現貨身本不是或01概念
機的械式作操
- 国年假中
-
休
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现货
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期货位 部=0
期货位 部 1=0
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隱8含波率套利動 (oValtilityA ritrbga)e
he BTheviao orfBo n dBasi is likse naOp itn
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C基 = 差現貨價 –（格經換轉後）之期價貨 格Basis= C –F （他其） Bass =iC – F *FC（公期債貨）
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F
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-
到期之，虛線前代期貨
表價格，F c noervegst toh ecnvoerte dpire ocfCT Da texpi aritno- efoBr eepxrationi futu,es rrpic treack somthoy lcuver dadsedhli ne htt aies lbeow thel lowst coevenredt cas phriceo f teh 3 cmpetiong onds.b Jutsho mwuch beol dweendspo n : -caryr, - hw volaotli yieeld sna dyeid splreadsa re expcetdeto be, an,dt erhfero, eohwl ikeylit s ihat thtreewil l eb ahancge i thenC T. - 如果市場D率利在交差附近，期點貨格價 housld behav like ea beld nf tohet o bonwd.sThe gap ebwten ehe ctonveretdc as phrcise endstt owide nnit e nhegihorhoob df tho esiwch topnits.It i sat tehesp onis ttha untcrtaeint yaobu twht abodnw il be lTC iDs graeest. tAsa re ults,it i sat the e spiotsnt htathe valeuo tfehop tino ss ireatges.t
交叉
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期間大續債券的票：面率利低，期較限較長
存續
期間小的券債票：面率較高，期限利短較
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賣差方
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券期貨
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1007. / 02.210 = .754
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