利率衍生品回顾与展望：关注期债正套和做多基差的机会

Quantitative Models and Construction Methods Model Name: Positive Basis Strategy - Construction Idea: The strategy focuses on the positive basis opportunities in the current treasury futures market[5] - Construction Process: - Identify the CTD (Cheapest to Deliver) bonds for the main contracts of treasury futures (T2503, TF2503, TS2503, TL2503) - Calculate the IRR (Internal Rate of Return) for these CTD bonds - Compare the IRR with the current certificate of deposit (CD) rates to determine the positive basis opportunities - Formula: $ IRR = \frac{Coupon + (Price_{maturity} - Price_{current})}{Price_{current}} $ - Example IRR values for T2503 CTD bonds: 1.64%-2.42%[28] - Evaluation: The positive basis strategy is recommended due to the higher IRR of CTD bonds compared to the 3M CD rates, indicating a profitable arbitrage opportunity[28] Model Name: Basis Widening Strategy - Construction Idea: The strategy aims to capitalize on the widening basis in treasury futures contracts[5] - Construction Process: - Monitor the basis levels of the main contracts (T2503, TF2503, TS2503, TL2503) - Identify the low basis levels and predict the potential widening - Example basis values: T2503: -0.12, TS2503: -0.26, TF2503: -0.10, TL2503: 0.17[20][33] - Evaluation: The basis widening strategy is recommended due to the current low basis levels, suggesting potential for future widening and profit[33] Model Backtesting Results Positive Basis Strategy - T2503 Contract: IRR values range from 1.64% to 2.42%[28] - TF2503 Contract: IRR values range from 1.95% to 2.36%[28] - TS2503 Contract: IRR values range from 2.06% to 2.44%[28] - TL2503 Contract: IRR values range from 1.54% to 3.23%[28] Basis Widening Strategy - T2503 Contract: Basis value -0.12[20][33] - TS2503 Contract: Basis value -0.26[20][33] - TF2503 Contract: Basis value -0.10[20][33] - TL2503 Contract: Basis value 0.17[20][33]