現金交割之公債期貨評價與避險之研究

Pricing and Hedging of Cash-Settled Bond Futures

林丙輝(Bing-Huei Lin) ； 周建新(Jian-Hsin Chou)

《中國財務學刊》 5卷3期 (1998/01) Pp. 1-32

https://doi.org/10.6545/JoFS.1998.5(3).1

摘要

公債期貨契約在到期時所採行之交割方式，主要可分為現貨交割與現金交割兩種。雖然大多數之期貨交易所，如CBOT、LIFFE、TSE、與DTB等，均採用現貨交割方式來結清買賣雙方之未平倉部位，但仍有SFE、FUTOP、與NZFOF等重要之期貨交易所，採用現金交割之方式。本文主要探討公債期貨契約在不同交割制度下，定價與避險效果之比較。本文以澳洲雪梨期貨交易所（SFE）之十年期公債期貨為研究對象，以基礎復合近似法來估計澳洲市場之利率期限結構，同時應用Hull-White（1993）所提出之利率模型來估計現金交割下之理論期貨價格，與現貨交割下之模擬期貨價格。在比較不同策略為基礎之避險效果後，本研究發現在大多數情況下，現金交割之公債期貨契約可得到較佳之避險效果。

關鍵字

現金交割 ； 實物交割 ； 利率期限結構 ； Hull-White模型

並列摘要

This paper investigates the pricing and hedging of the bond futures contract with cash settlement. The Australian 10-year Commonwealth Treasury bond futures contract traded on the Sydney Futures Exchange (SFE) is chosen for our study because, unlike the Treasury-bond futures contract traded on the CBOT which is settled by physical delivery, it is settled based on a cash settlement system. We adopt a methodology proposed by Hull and White (1990, 1993) for pricing the bond futures contracts, and the B-spline approximation function is used to estimate the term structure of interest rates. Both the theoretical futures prices based on cash settlement and simulated futures prices based on physical delivery are obtained by applying a discrete trinomial tree approach. After comparing the hedging performances from different hedging strategies, we find that the cash-settled contract has a better hedging performance than the physical-delivered contract, although the result is not consistent.

並列關鍵字

Cash Settlement ； Physical Delivery ； Term Structure of Interest Rates ； Hull-White Model