s********y
发帖数: 2 | 1 在拜读Hull的书，当讲到cheapest to deliver bond的选择，假设conversion factor
是基于6%算出的，当bond yields大于6%时，应该选择low-coupon long-maturity（
high duration），反之应该选择high-coupon short-maturity。哪位有耐心的能先只
从coupon的角度，然后在从duration的角度给解释一下？非常感谢！ |
r**u
发帖数: 69 | 2 low-coupon/long-maturity is referring to the same thing (long duration).
and vice versa for the other direction.
it helps if you think of CF in the following way:
Futures Settle Price * Conversion Factor
= Price of Bond with 6% Yield
= Cash Flow discounted at 6%
Now for the same cash flow, if you have to move up from 6%, you would prefer
to have a longer duration to make bond price cheaper. If you are moving
down from 6%, you would prefer to have shorter duration, which makes the
delivery less e
【在 s********y 的大作中提到】
: 在拜读Hull的书，当讲到cheapest to deliver bond的选择，假设conversion factor
: 是基于6%算出的，当bond yields大于6%时，应该选择low-coupon long-maturity（
: high duration），反之应该选择high-coupon short-maturity。哪位有耐心的能先只
: 从coupon的角度，然后在从duration的角度给解释一下？非常感谢！
|
s********y
发帖数: 2 | 3 谢谢回复！能否帮忙看看我的推导问题出在哪？
假设可供选择的若干bond中，它们的yield和maturity都一样，只是coupon不同。因为
目标是使bond price - futures settle price * conversion factor最小，
bond price = sigma(C*DF1i) + 100*DF1n
conversion factor = sigma(C*DF2i) + 100*DF2n
其中DF1是指用bond的实际yield算出的discount factor，DF2是指用6%算出的discount
factor。
假设futures settle price是F，带入公式，并忽略不含C的principal项（因为是要看
随着C的变化结果怎样变化），得到
sigma(C*DF1i) - F * sigma(C*DF2i)
==> C * ( sigma(DF1i) - F * sigma(DF2i) )
如果yield > 6%，则sigma(DF1i) < sigma(DF2i)，但是我不知道把F带入后，C的系数
究竟是正还是负，所以也不知
【在 r**u 的大作中提到】
: low-coupon/long-maturity is referring to the same thing (long duration).
: and vice versa for the other direction.
: it helps if you think of CF in the following way:
: Futures Settle Price * Conversion Factor
: = Price of Bond with 6% Yield
: = Cash Flow discounted at 6%
: Now for the same cash flow, if you have to move up from 6%, you would prefer
: to have a longer duration to make bond price cheaper. If you are moving
: down from 6%, you would prefer to have shorter duration, which makes the
: delivery less e
|
r**u
发帖数: 69 | 4 bond price(real yield) = sigma(C*DF1i) + 100*DF1n
bond price( 6% yield) = sigma(C*DF2i) + 100*DF2n
difference = bond price (real yield) - bond price (6%)
~= -dP/dy * (real yield - 6%)
dP/dy depends on coupon as well as maturity.
discount
【在 s********y 的大作中提到】
: 谢谢回复！能否帮忙看看我的推导问题出在哪？
: 假设可供选择的若干bond中，它们的yield和maturity都一样，只是coupon不同。因为
: 目标是使bond price - futures settle price * conversion factor最小，
: bond price = sigma(C*DF1i) + 100*DF1n
: conversion factor = sigma(C*DF2i) + 100*DF2n
: 其中DF1是指用bond的实际yield算出的discount factor，DF2是指用6%算出的discount
: factor。
: 假设futures settle price是F，带入公式，并忽略不含C的principal项（因为是要看
: 随着C的变化结果怎样变化），得到
: sigma(C*DF1i) - F * sigma(C*DF2i)
|
J*****n
发帖数: 4859 | 5
prefer
老实说，我觉得现在国债的basis trading的辉煌时代已经过去了。估计现在唯一能用
这个赚钱的只有大的dealer了。
【在 r**u 的大作中提到】
: low-coupon/long-maturity is referring to the same thing (long duration).
: and vice versa for the other direction.
: it helps if you think of CF in the following way:
: Futures Settle Price * Conversion Factor
: = Price of Bond with 6% Yield
: = Cash Flow discounted at 6%
: Now for the same cash flow, if you have to move up from 6%, you would prefer
: to have a longer duration to make bond price cheaper. If you are moving
: down from 6%, you would prefer to have shorter duration, which makes the
: delivery less e
|
