我国国债期货产品设计及交易策略研究
摘 要
国债期货产品从诞生至今，已有 30 多年，在全球金融市场获得长足发展，
占据了金融衍生品交易额的相当大比重。我国在 1995 年关闭国债期货试点后，
历时 18 年，于 2013 年 9 月 6 日，重新推出 5 年期国债期货合约。那么，这次的
产品合约有什么特点来降低市场风险呢？国债期货对于投资者有哪些现实用途
呢？本文就此进行了简要论述：
第一章介绍境内外国债期货产品的发展概况，美国及全球主要发达经济体的
国债期货产品推出情况，我国 90 年代开展的国债期货试点、重新推出的工作历
程及市场意义。

第二章介绍当前的国债期货产品及规则设计，主要从标的选择、合约面值、
票面利率、可交割债券范围、合约结算价等方面，讲述产品设计过程中，防范市
场风险的考虑因素。

第三章介绍国债期货的定价机制，特别是转换因子和最便宜可交割债券的计
算原理，为国债期货的具体运用打下理论基础。

第四章介绍国债期货的套期保值策略，讨论套期保值原理及实际应用中应特
别注意的套期保值比率，并以市场数据举例简要说明。

第五章介绍国债期货的套利交易策略，分别从期现套利、跨期套利、跨品种
套利等方面进行了实例论述，并讨论了市场套利可能存在的风险，供投资者参考。

关键词：国债期货，产品设计，交易策略
CONTRACT DESIGN OF TREASURY BOND FUTURES
AND RESEARCH OF TRADING STRATEGIES IN
CHINA
ABSTRACT
It has been more than 30 years since treasury bond futures came out.
With an extremely rapid development, treasury bond futures has occupied
a considerable proportion of financial derivative transaction in the global
financial markets. After 18 years, China re-launched 5-year bond futures’
contracts in September 6th, 2013 since bond futures’ test closed in China
in 1995. Therefore, what are the characteristics of the new treasury bond
futures for reducing market risk What are the real effects of treasury
bond futures bring to investors These questions will be briefly discussed
in this paper.
Chapter 1 reviews the development of foreign and domestic treasury bond
futures, stressing on US and the major developed economies, and
discusses the course of Chinese treasury bond futures and its market
value, involving the first bond futures which was launched in the 1990s.
Chapter 2 introduces the Chinese current treasury bond futures and its
design rules, involving underlying, contract face value, coupon rate, the
range of deliverable bonds, contract settlement price, etc. And this
Chapter also describes the factors against market risks which are
considered in the whole process of product design.