The Term Structure Of Interest Rates In Treasury Bond Futures Pricing

In the international financial derivatives market, treasury bond futures is a long history, thebasic structure of perfect basic financial derivatives. From the past experience of treasury bondfutures market in the developed countries, we can see the bond futures market plays an importantrole in promoting the spot transaction of bonds, and promote the interest rate market process,improve the benchmark interest rate system, effective guarantee bond style. Treasury futures listedon the market pricing mechanism, improve the bond issuance, it plays an important role inpromoting the mercerization of interest rate and the optimal allocation of resources, but also canpromote the innovation and development of financial derivatives, the macroeconomic smoothdevelopment. In recent years, with the continuous reform and development of China’s bondmarket and interest rate market, the rapid rise in the amount issued bonds, and constantly improvethe trading period, diversification of varieties, the debt market two of China’s overallmacroeconomic increases day by day, and the term structure of interest rates as an importantconcept in the process of bond pricing, the market orientation and play the benchmark functionsare also getting more and more attention. So the research on term structure of interest rate, has theimportant practical significance.This paper studies on the significance of the selected topic, the background is summarized,then in the second chapter, the term structure of interest rates and bond futures related literature athome and abroad are reviewed in this paper. The third chapter introduces the theory of the termstructure of interest rates, bond pricing and the specific model. The fourth chapter is theempirical research on the structure and pricing of interest rate of national debt in china. Data showthat as the period increases the spot rate will also increase, and that in the course of selectingfactor model of the term structure of the national debt in China, in the construction of factormodel is the choice of multi factor model is more reasonable. The empirical results, the interestrate process and the two factors are positively related. In addition, the market price ofrisk also were positive, which means the risk of bond is large, or the larger fluctuation, the rate ofreturn is also higher. And pricing, by way of example concrete steps on bond pricing analysis. In the conclusion, firstly, the existing problems in China’s current interest rate term structure aresummarized, including the financing mechanism of a single and a smaller scale, the marketstructure is not reasonable and there is a big risk etc.. Then aiming at these problems, thecorresponding policy recommendations.