Contract Design Of Treasury Bond Futures And Research Of Trading Strategies In China

It has been more than30years since treasury bond futures came out.With an extremely rapid development, treasury bond futures has occupieda considerable proportion of financial derivative transaction in the globalfinancial markets. After18years, China re-launched5-year bond futures’contracts in September6th,2013since bond futures’ test closed in Chinain1995. Therefore, what are the characteristics of the new treasury bondfutures for reducing market risk? What are the real effects of treasurybond futures bring to investors? These questions will be briefly discussedin this paper.Chapter1reviews the development of foreign and domestic treasury bondfutures, stressing on US and the major developed economies, anddiscusses the course of Chinese treasury bond futures and its marketvalue, involving the first bond futures which was launched in the1990s.Chapter2introduces the Chinese current treasury bond futures and itsdesign rules, involving underlying, contract face value, coupon rate, therange of deliverable bonds, contract settlement price, etc. And thisChapter also describes the factors against market risks which areconsidered in the whole process of product design. Chapter3describes the pricing mechanism of treasury bond futures,especially the calculation principles of the conversion factor and thecheapest deliverable bonds,which lay the theoretical foundation for theapplication of treasury bond futures.Chapter4introduces the hedging strategy of treasury bond futures,discusses the hedging strategy principles and the hedge ratios during thepractical application, and adopts market data for brief descriptions.Chapter5illustrates the arbitrage strategy respectively from the aspect ofarbitrage, intertemporal arbitrage, cross species arbitrage, etc. In addition,Chapter5also discusses the potential market risk for investors’ reference.