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The Determination of the Cheapest to Deliver and Empirical Analysis
Author(s): 
Pages: 6-10
Year: Issue:  2
Journal: Journal of Changchun Finance College

Keyword:  国债期货转换因子最便宜可交割债券隐含回购利率净基差;
Abstract: 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.
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