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台灣公債期貨市場 PowerPoint PPT Presentation


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台灣公債期貨市場. TAIFEX, Your Key to a Bright Future in Taiwan. 大綱. 公債期貨介紹 第 34 號公報對債券市場之影響. 公債期貨之特性. 標準化契約 保證金交易 集中市場交易 交易相對方之違約風險由結算機構承擔 交易資訊透明且傳播迅速. 公債期貨之功能. 提供避險管道,鎖定利率 調整債券投資組合之存續期間 價格發現的功能 成為資產配置之一環 提高投資效率 資訊取得迅速方便. 公債期貨契約規格. 中文簡稱:十年期公債期貨 英文代碼: GBF

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台灣公債期貨市場

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6404411

TAIFEX,

Your Key to a Bright Future in Taiwan


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  • 34


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  • GBF

  • 5003%

  • 8:451:45

  • ()

  • 0.005(250)

  • 3


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    • 1,000

    • 2,000


6404411

  • -

  • -

    • = ( ) 500 100


6404411

  • (Conversion Factor System)

    • >>1

    • <<1


Cheapest to deliver ctd

Cheapest-to-Deliver (CTD)

  • i

    • FPCFi+AIi

      • FP

      • CFiiAIii

  • i()Pi

    • Pi+AIi

  • i

    • FPCFi+AIi(Pi+AIi) = FPCFiPi

    • (CTD)


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34

  • 34

  • ()

  • 9511

    • (IAS)


6404411

    • VS

    • VS


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6404411

    • (80%-125%)


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34


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34

    • 34


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  • 9329

    • 2,26937%

    • 3,91663%

  • 3430%~50%0.85~1.4


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  • (Duration) 6.931(0.01%)0.0693% 6.1~ 10.18


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    • =5,000,000100=50,000


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  • 26.93

  • 1208

  • A0()

    • 2 (120 50,000) (0-6.93) 8.0 =28.88

  • 29


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()

    • A2

    • 1.95

    • 34

    • 34

    • 95/10/15101.0/(2.02)

    • 95/12/5 99.5/(1.99)

  • 34

    • 12/51.99>1.95

  • 34

    • 10/1512/51.5/0.03

    • 95/10/152912120125118


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1.95

()34()


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()34()


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()34()


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34

  • 34


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34


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    • 0.714


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