The Optimal Hedging Model Research Of China’s Treasury Bond Futures

With the continuous progress of financial reform, China Financial Futures Exchange in September 2013 officially launched the 5-year treasury bond futures contract, and in March 2015 launched the 10-year treasury bond futures contract. At present,3-year treasury bond futures are trading in the simulation stage. As the treasury futures product getting rich, the function of the risk aversion of treasury bonds has been paid more and more attention. Due to fluctuations in the price of spot & futures is not exactly the same, so it needs to select different hedging model to evaluate the hedging effect. The research on the optimal hedging model of treasury bond futures has important theoretical and practical significance.First of all, the paper introduces the correlation theory of research, and the domestic and international research status of hedging. It also introduces the development of China’s government bond futures hedging. Then it analyzes the computing methods of China’s treasury bond futures optimal hedging ratio. On this basis, the article were used to bond index, CTD, 5-year Treasury Notes and 10-year Treasury Notes closing price to estimate the optimal hedge ratio and using the performance indicator to evaluate effect of these models. Finally, according to the results of this paper, the study is summarized and the corresponding policy recommendations are given.The research results show that using the Copula function model of Chinese bond futures optimal hedging ratio compared to other models better, stronger risk aversion.