金融工程

周倜
哈尔滨工业大学（深圳）经济管理学院

2024 年秋
 远期与期货——定价
03 THE HITSZ
SCHOOL OF ECONOMICS
AND MANAGEMENT
 Outline

• Forward and Futures Prices

• Zero Rate

• Forward Rate and Forward Rate Agreement

• Treasury Bond Futures

 Basic Assumption

• No transaction fees or taxes;

• Short selling is allowed;
• Market participants can borrow and lend money at the same risk-free rate;
• There is no risk of default;
• When an arbitrage opportunity arises, market participants will engage in
arbitrage activities so that the arbitrage opportunity disappears;
• we get the theoretical price that would be the equilibrium price in the absence of
an arbitrage opportunity.
• The margin account of a futures contract pays the same risk-free rate.
• Anyone can acquire long and short positions in forwards and futures at no cost.
Short-Selling

• Suppose the price of an asset is expected to fall, and you don’t have the
position of the asset,
• First: borrow and sell an asset (get $X0)
• Sometime in future: buy back and return the asset (pay $X1)
• Profit/Loss = $X0 - $X1
• Short-sellers need to pay the lender of the security the dividends received
from the asset during this time period.
Short-Selling

• Example 1: short-sell IBM stock for 90 days. Note that the short-seller
must pay the dividend, D, to the share-lender.

Day 0 Ex-Div Day Day 90

Action Borrow Shares Return Shares
Asset Sell Shares Purchase Shares
Cash

• The seller’s profit is

Short-Selling

• Example 2: Cash flows associated with short-selling gold for 180 days. The
gold spot price is $1900 today, and suppose after 180 days, the gold price
is $1800

Day 0 Day 180

Action Borrow Gold Return Gold
Asset Sell Gold Purchase Gold
Cash
Gold: An Arbitrage Opportunity?

• Suppose that:
• The spot price of gold is US$ 1900 per ounce
• The 1-year forward price of gold is US$ 1900
• The 1-year US$ risk-free interest rate is 5% per annum (we can borrow or lend
at 5%) (continuously compounded)
• No storage cost for gold

• Is there an arbitrage opportunity?

Gold: An Arbitrage Opportunity?

• Suppose that:
• The spot price of gold is US$ 1900 per ounce
• The 1-year forward price of gold is US$ 2020
• The 1-year US$ risk-free interest rate is 5% per annum (we can borrow or lend
at 5%) (continuously compounded)
• No storage cost for gold

• Is there an arbitrage opportunity?

 Notation

• : Spot price today

• : Forward price today for maturity T
• : Futures price today for maturity T
• : Time until delivery date
• : Continuously compounding risk-free interest rate for maturity T
 Forward Price of Gold – Replicating Long Gold Position

Cash at t
t =0 t =T Cash at T
=0
Borrow Payback loan
1 Buy one gold Own gold
0
Long forward 0 Pay
2 Own gold

• How to price a derivative?

• Often we can find a portfolio whose payoff is identical to that of the derivative and
have a known price. Then the no arbitrage principle implies that the price of the
portfolio ‘ought’ to be the price of the derivative.
• Q.
 Forward Price of Gold – Replicating Short Gold Position

Cash at t
t =0 t =T Cash at T
=0
Borrow gold and
Buy gold to return
sell
1 Invest the proceeds Receive cash
0
Buy gold to
Short forward 0
delivery
2 Receive cash

• Q.
Forward Price for Underlying without Payouts,
dividend, storage cost
• If the underlying (e.g. stock, gold) does not have payouts, dividend,
storage costs from 0 to T, then

Cash and Carry

• : today’s forward price for delivery date T

• : today’s underlying (stock) price

• If , there must be an arbitrage opportunity.

Forward Price of Stock with Dividend

• What about forward price when the underlying pays dividend?

• Two ways to own a stock (with dividend) at time T:

1. We borrow cash , and buy one share of stock at .

• At time u, (0<u<T), stock pays dividend D, we can use D to repay part of the loan
• The dividend reduces our cash payment at time T by

• At time T, we have one share of stock at , and we pay

2. We long forward contract at

• At time T, we have one share of stock at , and we pay for the stock.
 Forward Price of Stock with Dividend

t =0 t =u t =T Payoff
Borrow Payback loan
Receive D
Invest in risk-free - Receive
D
Buy one share Own stock
0 0
Long forward 0 0 Pay
• Q. Own stock

• Q.
Forward Price for Stock with Dividend

• If stock pays dividend D at some time between 0 to T,

• For large baskets of stocks, the dividend stream of all the component
stocks can be approximated as a continuous flow, i.e. an yield at rate d
per unit time. Then the formula would be just

Cash Yield from cash Yield from stock

• Dividends reduce your cost of carry.

Example of Pricing Currency Forwards (Perfect Markets)

• Forward exchange rates are quoted the same as spot exchange rate.
• Usually GBP, EUR, AUD, and NZD are quoted as units of foreign currency per
unit of domestic currency (Indirect Quotation)
• GBP/USD = 1.5, that is 1 GBP = 1.5 USD. (GBP – goods/security, USD –
numeraire)

• Other currencies (e.g., CAD and JPY and CNY) are usually quoted as units of
the foreign currency per unit of domestic currency (Direct Quotation)
• USD/JPY = 94, 1 USD = 94 JPY (USD – goods/security, JPY – numeraire)
 Example of Pricing Currency Forwards (Perfect Markets)

• Spot USD/JPY exchange rate is 94.00: 1 USD = 94 JPY.

• One year JPY r is 1.5%, one year USD r is 3%, a.c.

• What should be the one year forward price of USD/JPY?

• Hint: JPY is the numeraire (account unit). Think USD as a security/good paying annual
compounding dividend (dividend = U.S. risk-free interest rate)
Forward Prices – Pricing Currency Forwards

• Forward price for currency (annual compounding rate):

• : currency, : goods, R: a.c. rate on currency (JPY), : a.c. rate on goods (USD)

• Using continuously compounded interest rates, then

• : c.c. rate on currency, : c.c. rate on goods

Forward Exchange Rate, Easy Way to Remember

• Suppose for any currency pair, the spot rate is , then (we use direct
quotation method for currency A)

• B is good (we want to buy) and A is numeraire

• The forward exchange rate , can be expressed as:

or
Forward Arbitrage

• Suppose the forward price were anything other than 92.631. Call it 90.00.
As long as the case, we can get free money.

• How?
• Buy the thing that is too cheap (long forward dollars short forward yen).
• Sell the thing that is too expensive (Sell spot dollars buy spot yen).
• Borrow the dollars to buy yen
• Put the yen in the bank.
• Ensure that the terminal cash flow is 0.
• Then … … do nothing!
Forward Arbitrage

Transaction Cashflow (at 0) Cashflow (at T)

Sell yen (buy dollar) forward @ -90 Yen

0
90 +1 Dollar

Borrow 1/1.03 Dollars +0.9709 Dollars -1 Dollar

+88.67 Yen
Buy 88.67 Yen spot @ 94 0
-0.9433 Dollars

Lend 90/1.015 Yen -88.67 Yen +90 Yen

Total 0.9709-0.9433 Dollars 0 Yen, 0 Dollars

Pricing Commodity Forwards

• Now let’s return to soybeans forward.

• Can we use our “cash and carry” argument once again?
• At this point we can guess what it would say:

• Since this is what we derived for currencies and stock indexes.

• Stock forward
• FX forward
Pricing Commodity Forwards

• The yield for holding cash is r. This is your cost of replicating the forward
position.
• The yield for holding the underlying good was its payout rate plus the any
lending fee (y) and minus storage costs (u).
• Payout and lending fee reduce your cost of carry, while storage cost
increases your cost of carry.
• Then the formula is:

• Q: What has to be true about the commodity to enforce the arbitrage?

 Pricing Commodity Forwards - Problems with Arbitrage

• No arbitrage principle (NAP) may not work for commodity. If

• NAP: long forward, short spot, then
• But difficult to enter a short position in some commodity.

• Example
• The spot price of oil is US$ 100
• The quoted 1-year futures price of oil is US$ 80
• The 1-year US$ cc interest rate is 5% per annum
• The storage cost of oil is 2% cc per annum
• Is there an arbitrage opportunity?
• If underlying cannot be easily short sold, may exist and prevail for a long period
Pricing Commodity Forwards - Problems with Arbitrage

• If
• NAP: short forward, buy spot goods (store it till T), then
• Not all goods are storable! E.g., fresh orange juice, electricity, weather,
Beaujoulais nouveau ( 博若莱新酒 )

• Arbitrage can enforce the cash-and-carry forward price formula iff the
underlying good can be transported into the future at a cost that is
known today.
• If there is no arbitrage mechanism, what do forward prices reflect?
The cost of holding the underlying asset (ppt103 页 )

• The cost of holding the underlying asset = the cost of storage + the
financing cost (the risk-free rate) - the dividend yield provided by the
underlying asset over the life of the contract.

• For financial assets without dividends (e.g. Stocks with no dividends)

• Holding cost = cost of risk-free interest rate

• For financial assets that pay dividends (e.g. dividend-paying stocks)

• Holding cost = cost of the risk-free interest rate - dividend yield provided by
the underlying asset over the contract term

• For real assets without dividends (e.g. gold, silver)

• Holding cost = cost of the risk-free rate + storage cost
 Value of a Forward Contract

• The initial value of a forward contract is zero (why?) Recall that the replicating
portfolio for a forward contract has zero initial cost.
• After its inception, the contract can have a positive value to one
counterparty (and a negative value to the other) Why?

• The value of the long contract on an asset at time is computed as :

• With no cash flows:

• With cash flow (with present value I):

• And with a continuous dividend yield of q:

Forward/Futures Prices and Expected Future Spot Price

• True or false: forward/futures price reflects the expected future spot price?
• Hint : or

• Expected future spot price:

• Q: Does
Forward/Futures Prices and Expected Future Spot Price

• Buy stock now: invest money, compensated for:

• Time value of money, earn risk free rate
• Risk of the stocks, earn risk premium
• The expected return on a stock to buy stock is + r
• Under the CAPM,

• Long forward/futures contract to buy stock:

• Not compensated for the time value of money (why?)
• Retains the risk of stocks
• The forward must earn the risk premium
 Forward/Futures Prices and Expected Future Spot Price

• Forward price is a biased predictor of future spot price

•
• (the growth rate of your initial investment is not r, but )
• (invest in the underlying, you earn )
• (invest in futures, you earn the risk premium only, no r (the time value of money)
why?)

• If the asset has

• No systematic risk, then = 0 and is an unbiased estimate of
• Positive systematic risk, then > 0 and
• Negative systematic risk, then < 0 and
 Forward/Future Price and Current Spot Price
(𝑟 − 𝑞 +𝑢 )( 𝑇 − 𝑡 )
𝐹 𝑡 , 𝑇 =𝑆 0 𝑒
• 𝑟−𝑞+𝑢 为持有成本，其中为储存成本 ， 为无风险利率成本， 为标的资产在合约期限内提供的红利收益。

• 标的资产的价格与其远期（期货）价格孰高孰低取决于持有成本，在到期日远期（期货）价格收敛于现货价格。

• 远期（期货）与现货的相对价格只与持有成本有关，与未来现货的涨跌预期无关。
• 虽然预期不影响远期（期货）与现货的相对价格，但能影响远期（期货）与现货的绝对价格。当预期未来标的资产价格上涨时，现货价
格与远期（期货）价格都会上涨。

• 从本质来看，远期（期货）价格取决于现货价格，随现货价格的变化而变化。在现实中，远期（尤其是期货）市场具有低交易成本、高
杠杆、高流动性等特征。面临新的市场信息时，投资者往往首先在远期（尤其是期货）市场上进行操作，使得新信息首先反映在远期
（尤其是期货）市场中。使得远期（尤其是期货）市场具备了价格发现功能。
Forward vs Futures Prices

• When the maturity and asset price are the same, forward and futures
prices are usually assumed to be equal when interest is constant or
a deterministic function of time.

• In theory, when interest rates are uncertain, they are slightly

different (due to the daily settlement of futures):
• A strong positive correlation between interest rates and the asset price
implies the futures price is slightly higher than the forward price (why?)
• A strong negative correlation implies the reverse
• A zero correlation implies that futures price is equal to forward price.

• So Eurodollar futures is an exception, that is, the underlying

movement has a perfect correlation with the interest rate!
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
 Summary

• If the underlying cannot be short sold (<), if the underlying can not be
stored into future (>).
• (or ) if the underlying has positive systematic risk.
• Futures prices are assumed to be identical to forward prices, expect when
interest rates are uncertain.
 Outline

• Forward and Futures Prices

• Zero Rate

• Forward Rate and Forward Rate Agreement

• Treasury Bond Futures

Zero Rates

• A zero-coupon bond is a promise to pay one dollar (face value) only

at time T
• Zero rates are the interest rate earned on zero-coupon bonds

• A zero rate for maturity T is the rate of interest earned on an

investment that provides a payoff only at time T.

• The n-year zero rate is also called the n-year spot rate.

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
Example (Table 4.2, page 83, John Hull 9ed)

Maturity (years) Zero rate (cont. comp. %) Zero-coupon bond price

0.5 5 97.5
1 5.8 94.4
1.5 6.4 90.8
2 6.8 87.3

• To calculate the price of a zero-coupon bond we discount the cash

flow at the appropriate zero rate.

• Say the 1.5-year zero coupon bond price

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
Bond Pricing

• To calculate the price of a coupon-bond we discount each cash flow

at the appropriate zero rate
• In our example, the theoretical price of a two-year bond providing a
6% coupon semiannually is

• Theoretically, one can replicate the coupon bond via a portfolio

of zero-coupon bonds. The NAP implies that the price of the
coupon bond is the sum of the prices of zero coupon bonds.

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
Bond Yield (Yield-to-Maturity, YTM)

• The bond yield is the discount rate that makes the present value of
the cash flows on the bond equal to the market price of the bond
• Suppose that the market price of the bond in our example equals its
theoretical price of 98.39
• The bond yield (continuously compounded) is given by solving

to get = 0.0676 or 6.76%.

• Note that,YTM is bond-specific, while the zero rate curve is for the
whole market.

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
 Data to Determine Zero Curve (Table 4.3, page 84)

• This is related to the concept: term structure of interest rates

( 利率的期限结构 )

Bond Principal Time to Maturity (yrs) Coupon per year ($)* Bond price ($)

100 0.25 0 97.5

100 0.50 0 94.9
100 1.00 0 90.0
100 1.50 8 96.0
100 2.00 12 101.6

• Half the stated coupon is paid each six month

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
The Bootstrap Method

• An amount 2.5 can be earned on 97.5 during 3 months.

• Because , the 3-month rate is 10.127% with continuous
compounding

• Similarly the 6 month and 1 year rates are 10.469% and

10.536% with continuous compounding

• Question: can you derive the generic formula for solving the
zero rate?

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
The Bootstrap Method continued

• To calculate the 1.5 year rate we solve

• to get r = 0.10681 or 10.681%

• Similarly, the two-year rate is 10.808%

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
 Zero Curve Calculated from the Data

12

Zero
Rate (%)
The term 11 10.808
structure is 10.68
10.469 10.53 1
upward sloping. 6
10.127

10

Maturity (yrs)
9
0 0.5 1 1.5 2 2.5

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
U.S. Zero Curve (T-bonds)
 Outline

• Forward and Futures Prices

• Zero Rate

• Forward Rate and Forward Rate Agreement

• Treasury Bond Futures

Forward Rates

• The forward rate ( 远期利率 ) is the future zero rate implied by

today’s term structure of interest rates

• At time-t, A forward rate over [] is the rate at which you can

contract today to borrow or lend money starting at year , to be
paid back at year
• The forward rate can be derived from the prices of zero-
coupon bonds

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
Forward Rates

Note: Both the spot rate and the forward rate are known at the current moment.

For instance ： Today is March 1st , 2020. We know the forward rate. However, at
the current moment, the one month spot rate at April 1 st is random and unknown to
us!
 Forward Rates

Buy 1 unit of Sell x unit of Net

Year bond year bond cash flow

Today t
Year 1 0 1
Year 0 -x -x

• Choose x such that time-t cash flow is 0. So you get 1$ at year and have to pay x at
year

• So the (annual compounding) forward rate can be solved from this equation:
 Forward Rates

• For ease of notation, let’s use the continuous compounding. So the above
equation can be written as

• This implies that

Application of the Formula

Zero rate for n-year Forward rate

Zero coupon bond price
investment for n-th year
Year (n)

(% per annum) (% per annum)

1 3 97.1
2 4 92.5 5
3 4.6 87.4 5.8
4 5 82.3 6.2
5 5.5 76.5 7.6

Options, Futures, and Other Derivatives, 9th Edition,

Copyright © John C. Hull 2014
 From an investment perspective
• The current time:
• The spot rate maturing at time : 𝑟1 𝑟𝐹
• The spot rate maturing at time : 𝑡 𝑇1 𝑇2
• The forward rate: 𝑟2

• It should be equivalent to investing in bonds maturing at , or investing first in bonds

maturing at and then investing further in the forward rate.

𝑟 1 (𝑇 1 −𝑡 ) 𝑟 𝐹 (𝑇 2 −𝑇 1) 𝑟 2 (𝑇 2 −𝑡 )
1 ×𝑒 ×𝑒 =1× 𝑒
𝑟 1 (𝑇 1 −𝑡 ) 𝑟 𝐹 (𝑇 2 −𝑇 1) 𝑟 2 (𝑇 2 −𝑡 )
𝑒 ×𝑒 =𝑒 ⇔ 𝑟 1 ( 𝑇 1 −𝑡 ) +𝑟 𝐹 ( 𝑇 2 − 𝑇 1 ) =𝑟 2( 𝑇 2 −𝑡 )

𝑟 2 (𝑇 2−𝑡 ) −𝑟 1 (𝑇 1−𝑡 ) 𝑇 2 −𝑡
𝑟 𝐹= =𝑟 2+(𝑟 2 − 𝑟 1)
𝑇2 −𝑇 1 𝑇 2 −𝑇1
Upward/Downward Sloping Zero Curve and Forward Rate

• For an upward sloping yield curve:

• Fwd Rate > Zero Rate:

• For a downward sloping yield curve:

• Zero Rate > Fwd Rate:
 Forward rate agreement (FRA)

• A forward rate agreement (FRA) is an over-the-counter (OTC) transaction

designed to fix the interest rate that will apply to either borrowing or lending
a certain principal during a specified future period of time.

• If the agreed fixed rate > reference rate for the period, the borrower pays the
lender the difference between the two applied to the principal.

• If the reverse is true, the lender pays the borrower the difference applied to the
principal.

• Because interest is paid in arrears( 在结束的时候付 ), the payment of the interest rate
differential is due at the end of the specified period of time. Usually, however, the
present value of the payment is made at the beginning of the specified period.
Forward rate agreement (FRA): An example

• Consider an FRA where company X is agreeing to lend money to

company Y for the period of future time between and .

• Define:
• : The fixed rate of interest agreed to in the FRA
• : The forward rate for the period between times and , calculated today
• : The actual interest rate (reference rate) observed in the market at time for
the period between times and
• : The principal underlying the contract.
Forward rate agreement (FRA): An example

• We will depart from our usual assumption of continuous compounding and

assume that the rates , , and are all measured with a compounding
frequency reflecting the length of the period to which they apply.

• This means that

• If , they are expressed with semiannual compounding;
• If , they are expressed with quarterly compounding; and so on. (This
assumption corresponds to the usual market practice for FRAs.)
Forward rate agreement (FRA): An example

• Normally, company X would earn the observe market from the loan.
The FRA means that it will earn . The extra interest rate (which may
be negative) that it earns as a result of entering into the FRA is .

• The extra interest rate therefore leads to a cash flow to company X

at time of

• Similarly there is a cash flow to company Y at time of

Forward rate agreement (FRA): An example

• From the previous slide, there is another interpretation of the FRA.

• It is an agreement where company X will receive interest on the principal

between and at the fixed rate of and pay interest at the realized reference
rate of .
• X takes the short position on the FRA that benefits from the fall in the
future interest rate.

• Company Y will pay interest on the principal between and at the fixed rate
of and receive the realized reference interest at .
• Y takes the long position of the FRA, which benefits from the rise in the
future interest rate.
Forward rate agreement (FRA): An example

• To iterate, we have

• Long position of the FRA borrow at the fixed rate and receive the
floating rate;
• Long position gains when the reference rate increases;

• Short position of the FRA receives the fixed rate and borrow at the
floating rate;
• Short position gains when the reference rate decreases.

• This is similar to the stock forward, where the long position obtains and
the short position obtains . The difference is that the underlying of the
FRA is an interest rate instead of a stock price.
Forward rate agreement (FRA): An example

• As mentioned, FRAs are usually settled at time rather than .

• The payoff must then be discounted from time to using the reference
interest rate observed at .

• For company X, the payoff at time is

• For company Y, the payoff at time is

The notation of FRA

• The notation of FRA is typically “a b FRA”:

• a: the number of months until the contract expires;
• b: the number of months until the underlying loan is settle.

• Example: 3 9 FRA
3 9 FRA

Today 3 months 9 months

(a) (b)
The uses of FRA

• Lock the interest rate or hedge the risk of borrowing or lending at some
future date.

• Bet on the movement of future interest rates

Valuation from an FRA at time-0

Now 𝑇 2
settlement

• Value (if paying )

• Value (if receiving )
• Note that
• is forward rate between and
• is the interest rate from now to T2 and is expressed as a continuously
compounded rate
• When , the value of FRA is zero. (Why?)
• So essentially, you can value the FRA as if the forward rate is realized at T1
• How to obtain the results? (Combine the current FRA with another FRA with
Valuation from an FRA at time-0

Now 𝑇 2
settlement

• Value of the long position (if paying ) . To obtain the result,

• we start with the following strategy. Suppose the long party of the FRA also enters
into another FRA, lending at the current forward rate (observable at Time-0).
• The first FRA has the payoff ; The second FRA has the payoff
• The net payoff the two FRAs is , which has no risk and thus has the present value
of . Since the second FRA has zero value, so the preset value is just the value of the
first FRA at time-0.
 Example of FRA

• Suppose that a company enters into a FRA that specifies it will receive a
fixed rate of 4% on a principal of $1 million for a 3-month period starting in
9 months. The current forward rate is 5% over [9m,12m], the future spot
rate over [] is 4.5% at . Question: what is the value of the FRA at the current
time and its payoff at the settlement date. Suppose the 1-year risk-free rate
is 5% with continuous compounding.
9 12 FRA

Now 𝑇 2
settlement

−5 % × 1
1 million ×(4 % − 5 %)×(1− 0.75)×𝑒 Cash flow at T2:

Payoff at T1 (Settlement):
 Outline

• Forward and Futures Prices

• Zero Rate

• Forward Rate and Forward Rate Agreement

• Interest Rate Futures: Treasury Bond Futures

• http://www.cffex.com.cn/u/cms/www/oldsys/P020130830615558736223.pdf
• 国债期货是利率期货的一种。
• 国债期货的标的是国债。
债券的报价

• 报价时通常报出面值每 100 元的价格

• 不同市场的最小报价单位往往不同

• 债券报价时使用的是净价而非全价
• 全价（ full price/dirty price ）
• 净价（ clean price ）则等于全价减去应计利息（ accrued interest ），避免报价不连续

• 应计利息：上一个付息日以来的利息（按比例计算）
案例：付息债的全价与净价

• 2019 年 2 月 18 日，将于 2024 年 3 月 16 日到期，息票利率为 3.2% 、一年支付一次利息

的 2017 年记账式附息 ( 六期 ) 国债（银行间市场代码为 170006.IB ）报价为 101.1748
元。从到期日和付息频率可以判断，该债券的上一个付息日是 2018 年 3 月 16 日，下一个付息日是
2019 年 3 月 16 日。
案例：付息债的全价与净价

• 由于 2018 年 3 月 16 日到 2019 年 2 月 18 日共 339 天，整个计息期间（ 2018 年

3 月 16 日到 2019 年 3 月 16 日）为 365 天，因此 2019 年 2 月 18 日，该债券每
100 元面值的应计利息等于
元

• 相应地国债 170006 现货交割时交收的全价为

利率远期与利率期货

• 第一，远期利率协议报出的是远期利率，而利率期货所报出的通常并非期货利率，而是与期货利率反向变动的特
定价格，期货利率隐含在报价中。

• 第二，由于上述区别，利率期货结算金额为标的资产的协议价与市场结算价之差，远期利率的结算金额则为利差
的贴现值。

• 第三，利率期货存在每日盯市结算与保证金要求，加上结算金额计算方式的不同，决定了远期利率与期货利率的
差异。
利率远期与利率期货

• 第四，远期利率协议中的多头是规避利率上升风险的一方（受益于利率上升），而利率期货的多头则是规避期货价
格上升风险（受益于国债价格上升），即规避利率下跌风险的一方。

• 第五，远期利率协议通常采用现金结算，而利率期货往往采用实物交割的形式，期货交易所通常规定多种符合标准
的不同证券均可用以交割，使得利率期货相对复杂。
中国 5 年期国债期货
项目 内容
合约标的 面值为 100 万元人民币，票面利率为 3% 的名义中期国债
可交割国债 在合约到期月首日剩余期限为 4-5.25 年的记账式附息国债
报价方式 百元净价报价
最小变动价位 0.005 元
合约月份 最近的三个季月（三、六、九、十二季月循环）
交易时间 9:15-11:30 ， 13:00-15:15 ；最后交易日： 9:15-11:30
每日价格最大波动限制 上一交易日结算价的 ±1.2 %
最低交易保证金 合约价值的 1%
当日结算价 最后一小时成交价格按成交量加权平均价
最后交易日 合约到期月份的第二个星期五
交割方式 实物交割
最后交割日 最后交易日后第三个交易日
合约代码 TF
中国国债期货
• 国债期货的特点：

• 国债期货标的资产不唯一。
• 为防止标的资产体量太小导致期货价格被操纵，全球市场上的国债期货通常都约定只要是满足特定特征的债券都可用于期货
交割。
• 但由于每个时刻期货报价唯一，相应引出了标准券和转换因子的概念。
• 国债期货通常约定空方拥有择券期权（即在众多可交割券中选择一种债券进行交割的权利）以及择时期权（即在进入交割月
中选择哪一天进行交割的权利）。

• 国债期货标的净价报价、全价交割（标的资产在合约期内产生应计利息）
• 全价指交割时买方支付、卖方收取的实际全部价款，净价等于全价减去应计利息。

• 净价 + 应计利息 = 全价
可交割券与标准券

• 发行期限不高于 7 年、到期月首日剩余期限为 4-5.25 年的任何记账式附息国债均为 5 年期国债期货合约

的可交割券

• 标准券：面值为 100 万，息票率为 3% ，在交割月首日的剩余到期期限为 5 年整的虚拟债券，是其

他实际可交割债券价值的衡量标准
案例：转换因子的计算

• 前述代码为 170006.IB 的国债是否属于 5 年期国债期货合约 TF1906 和 TF1909 的可交割券？

如果是，其转换因子分别为多少？

• 5 年期国债期货合约 TF1906 和 TF1909 的到期月首日分别为 2019 年 6 月 1 日与 2019 年

9 月 1 日，在这两天，国债 170006 的剩余期限分别为 4 年 9 个月又 16 天和 4 年 6 个月又 16
天，因此是这两个国债期货合约的可交割券。
转换因子 (Conversion factor)

• 每 1 元面值的可交割债券的未来现金流按 3% 的年到期收益率贴现到交割月首日的价值，再扣掉该债券每
1 元面值应计利息后的余额（使用净价）

• 时间调整（只算月份之差）
• 净价
• 交易所公布
案例：转换因子的计算

• 中金所规定计算转换因子时取整数月份，因此将 16 天舍去。根据转换因子的定义，我们首先将国债
170006 每 1 元面值的未来现金流用一年计息一次的年利率 3% 贴现至 2019 年 6 月，得到

4
0.032 1
å i+
9
+
4
9
= 1.0166
i =0
(1+3%) 12 (1+3%) 12

• 9/12 怎么来的？第一次付息是 2020 年 3 月 16 日，因为取整数月份去掉 16 ，故时间是

2019.6-2020.2 月底。
案例：转换因子的计算
• 然后将其减去 2019 年 6 月的近似应计利息（因为上一个付息日在 2019 年 3 月，按 3 个月计），就得到国债
170006 在国债期货合约 TF1906 中的转换因子为

• 类似地，我们也可以计算国债 170006 在国债期货合约 TF1909 中的转换因子为

4
0.032 1 6
 6
 6
 0.032  1.0082
12
1  3%  1  3% 
i 0 i 4
12 12
国债期货交割全价的计算

• 期货空方交割 100 元面值的特定债券应收到的现金为：

• 期货交割结算价 × 交割券 CF + 交割券配对缴款日应计利息

案例：国债期货交割全价的计算

• 2019 年 6 月 14 日， 5 年期国债期货合约 TF1906 的结算价为 99.43 元，若期货空方决定用

前述国债 170006 交割 1 份国债期货合约，请问空方应收到多少现金？

• 根据规定，应计利息应计算至配对缴款日（ 2019 年 6 月 18 日），则一份 TF1906 的全价应为

中金所国债期货应计利息的计算

• 应计利息的计数基准为“实际天数 / 实际天数”，每 100 元可交割国债的应计利息计算公式为

可 交 割 国 债 票 面 利 率 配 对 缴 款 日 － 上 一 付 息 日
应 计 利 息 ＝ ´
每 年 付 息 次 数 当 前 付 息 周 期 实 际 天 数

• 计算结果四舍五入到小数点后 7 位（以便实际收入四舍五入到小数点后 2 位）
案例：国债期货交割全价的计算

• 配对缴款日 2019 年 6 月 18 日距上一付息日 2019 年 3 月 16 日的实际天数为 94 天，前后

两次付息之间的实际天数为 366 天。因此 2019 年 6 月 18 日， 每 100 元面值的应计利息等于

• 因此，每交割一份国债期货合约，期货空方需提交 1 万张国债 170006.IB ，相应收到现金

元
转换因子的不足

• 计算转换因子时所有债券使用了同一个贴现率 3% ，这将导致转换因子出现误差；

• 在计算转换因子时，为简化起见，中金所规定使用整数月份，这进一步使得转换因子成为一个近似值；

• 在计算转换因子时，中金所对一年支付一次利息和一年支付两次利息的债券都使用 3% 的贴现率，实际上应对计
息频率进行转换才能使两个贴现率等价。

• 由于转换因子诸多假设，天然导致不同债券之间并非完美公平转换——相对合算和不合算
确定交割最合算券 (CTD): 交割日

• 交割最合算券：购买交割券所付的价格与交割期货时空方收到的现金之差最小的债券。

• 交割日：交割成本最小

交割成本 = 现券报价（净价） + 现券应计利息

– ( 期货结算价 × 转换因子 + 期货应计利息）
= 现券净价 – ( 期货结算价 × 转换因子 )
确定准 CTD 券：交割日之前

• 常见规则：交割日之前，隐含回购利率 (Implied Repo Rate, IRR)

• 最高

• 无付息情形
确定准 CTD 券：交割日之前

• 付息情形
案例：用 IRR 准则判断准 CTD 券

• 2019 年 2 月 18 日， 5 年期国债期货合约 TF1906 报价为 99.415 元，共有 5 只可交割券，

分别为国债 160020 、 160025 、 170006 、 180016 和 180023 （均为一年支
付一次利息）。若假设 2019 年 6 月 14 日申请交割，用 IRR 准则判断，哪个券为 2 月 18 日条件
信息下的“准 CTD 券”？