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Issue:
The Determination of the Cheapest to Deliver and Empirical Analysis
Author(s):
XIAO Li-qiang
Pages:
6
-
10
Year:
2014
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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