国债期货分析框架一：从定价机制到交易策略

Group 1 - The report emphasizes that government bond futures are essential financial derivatives that extend the cash market, playing a crucial role in interest rate risk management, market liquidity enhancement, and price discovery [1] - The report outlines the pricing mechanism of government bond futures, detailing key valuation indicators such as basis, net basis, and implied repo rate (IRR) [1][21] - The report discusses various trading strategies including directional investment, cash-futures arbitrage, inter-temporal spread trading, curve trading, and hedging strategies, highlighting their practical applications and constraints [1] Group 2 - Government bond futures are defined as contracts based on government bonds, allowing parties to buy or sell a specified quantity of bonds at an agreed price on a future date, providing tools for managing interest rate risk and opportunities for speculation and arbitrage [9][10] - The report outlines the core pricing logic of government bond futures, including the basic pricing model and key factors influencing prices, such as the risk-free rate and accrued interest [21][22] - The report indicates that the relationship between government bond futures and cash bonds is highly correlated, with a correlation coefficient of 0.99, suggesting that their prices tend to move in tandem [29][30] Group 3 - The report highlights that the implied repo rate (IRR) is a theoretical yield obtained from buying cash bonds and using them for futures delivery, with IRR being closely linked to the basis of government bond futures [40][46] - The report explains the concept of the cheapest-to-deliver (CTD) bond, which is the bond with the lowest delivery cost, impacting the futures short's arbitrage strategy and market participants' profit calculations [57][58] - The report discusses the characteristics of the government bond futures market, including the migration of contracts and the impact of basis and IRR changes on trading strategies [64][66]