摘要
针对目前我国重新启动的国债期货,本文主要研究了中金所上市的5年期国债期货合约,系统介绍了国债期货合约的各个基本要素、定价规则以及市场的规则制度设定等,并对套期保值和基点套利两种交易策略做了详细分析。
This paper addresses the reopening of treasury bond futures trading in China, focusing on the five-year treasury bond futures contract listed by China International Capital Corp. It introduces the basic features of treasury bond futures contracts, examines their pricing and trading rules, and offers a detailed analysis of hedging and basis point arbitrage strategies
出处
《金融市场研究》
2017年第5期72-77,共6页
Financial Market Research
基金
上海立信会计金融学院大学生创新创业训练计划项目的资助
编号:201611639004
关键词
国债期货
套期保值
套利
资产配置
Treasury Bond Futures, Hedging, Arbitrage, Asset Allocation
