Title:
1????
2 ????
- 1 ????????????
- 2 ?????????
- 3 ???????
3 1 ????????????
- ????
- ????????,???????????????????,?????????????????????
???? ???,?????????????????????? - ?????????????????,????????????????????,????????
4 5 1 ????????????
- ??????????
- 1975?10?CBOT??GNMA?????????????????,????,?????????
- ?1976?1??1981?12?,IMM?????3????????????????3??????
?????????,?????????? - 1977?8?,???????????CBOT??,???????????????????????,
?????????
6 1 ????????????
- ?????????
- ????????????????????????,??????????????????????,??
?????????????????????,?????????????????????? - ????????????????????????????????(Index),??????
?????(??????),??????????????????????????????????
,??????????????????????? - ??????????,????????????????????
7 1 ????????????
- ?????????(?????????)
- ?????? (????????? )??????1?????????????????????,?
????????????????????????????????????????? - ??????(?????????)?????1?????????????????????,????
??????????????????
81 ????????????
- ?????
- ???????????,???????(3???6???9?????),??????????
- ????
- ??????????????????????????????????????????????????
?????????,????????
9 1 ????????????
???? ??? ?????(?????) ???? ????
???????? CBOT 1/32?(31.25??) 100,000?? 3?6?9?12
10?????????? CBOT 0.5/32?(15.625??) 100,000?? 3?6?9?12
5?????????? CBOT 0.5/32?(15.625??) 100,000?? 3?6?9?12
2?????????? CBOT 0.25/32?(15.625??) 200,000?? 3?6?9?12
90???????? CME 0.01?(25??) 1,000,000?? 3?6?9?12
3?????????? CME 0.01?(25??) 1,000,000?? 3?6?9?12
1??LIBOR???? CME 0.005?(12.5??) 3,000,000?? ??12??
3?????????? SIMEX 0.01?(25??) 1,000,000?? 3?6?9?12
3?????????? SIMEX 0.005?(12.5??) 1,000,000?? 3?6?9?12
3?????????? LIFFE 0.01?(25??) 1,000,000?? 3?6?9?12
3?????????? LIFFE 0.01?(12.5??) 500,000?? 3?6?9?12
10 1 ????????????
IMM 13????????
???? 100??????3????????????
?????? 0.005?
????? 12.5??
?????? ???
???? 3??6??9??12?
???? ???????720-??200
????? ????1?
??? ?????1???????13?????1?
???? ???90?91?92???,???100?????????
11 1 ????????????
- ???????????
- ??????0.005?,??0.5??????1???,??1?????????,?????
?????????0.01 ,????????0.01 ? - ???????????????????????????????,??????13?????????
???1???????13??????? - ?90???????,???????????
- 100?(1-890/360)98?(?????8)
12 1 ????????????
- ???????????
- ?????????????
- ??????????????????
- ?? 3?????????93.58,???????(100-93.58)6.42,????
??6.42/41.605,???1000000(1-1.605)983950?????
?1000000????????? - 3???????????????????
- 3???????????93.58,??????(100-93.58)6.42,???????
6.42/41.605,???1000000(1-1.605)983950??????1
000000???3????????
131 ????????????
141 ????????????
- ???????
- ??
- 1?????????????????????????????????
- 2??????????????????????????,????????????,?????????
?????,????????????????????????,??????????? - ????
- ??????????????????????????????????
151 ????????????
161 ????????????
171 ????????????
- ???
- ???????????????,?????????????????????????,????????
????????,???????????? - ?????????
- ?????????????????????????
- ?????????????,?????????????,
- ???????????????????????
- ????????????????????7-5 P226
181 ????????????
- ??
- (1 )???????????????????
- ?????????????????,???????????,????,????????,??????
? - (2)???????????????????
- ?????????????????,???????????,????,????????,??????
? - ???????????????????????
191 ????????????
- ?7-6
- ?1?1???3???????????????15,6????????????17.5,????
?????????????????????????????20?????????3????????
???82,?18?????
201 ????????????
?? ???? ????
1?1 ? ??3????????? ?15?????9125000??(1000000-100000017.5180/360)??6??????? ???
3?? ????,?????955000??(1000000-10000001890/360) ?????????,?????944946??(9125000(115)0.25)
???? 10054??(955000-944946) 10054??(955000-944946)
211 ????????????
- ?7-7
- ??1?1?3?????100????????????15
6?????????????17.5????3????????75,??????25?????
?????????,??????3??6??????????20?
221 ????????????
?? ???? ????
1?1 ? ??3????????? ?17.5?????9625000??(1000000-10000001590/360)??3??????? ???
3?? ????,??937500??(1000000-10000002590/360),??6???????? ???????,??1000000??,???????????,??62500???
6?? ???????6??????,??1000000????????1043325.14??(9625001.1750.5)
???? 19174.86??(10000062500-1043325.14) 19174.86??(10000062500-1043325.14)
23 1 ????????????
CBOT 30????????
???? ???10????????????
?????? 1/32?
????? 31.25??
?????? ???
???? 3??6??9??12?
???? ????????????720-??200 ????????????????????
????? ???????????????????
24 1 ????????????
- ????????(??)
- ???????????????
- ?????????10???,??1?1??,?1000??,???????1???1/32,?1
0001/3231.25?? - ????XY ????X?????1000??,????Y???2??,?????31.25,
???3??,?????31.25/103.125?? - ??????,???????????????????????????
- ???????????????????
25 1 ????????????
- ????????(??)
- ?????1999?11?5?,2016?8?15???,?????12?????????94
28(?94.875)???????????? - ??????????????????,????????,??????1999?8?15?,????
???2000?2?15????1999?8?15?11?5???????82?,1999?11?5
??2000?2?15???????102?,???????? - ?????????
26 1 ????????????
- ????????(??)
- ??????????????????????????????????????????
- ??????????????????,??????????????(CTD)?
- ?????????,????????,???????????????????????????????
??????????
271 ????????????
- CF(????)?????????????????????????????????????????
?????? - ???????1??????????????????????,?6(2000?3????8)?
???????(????????)?????? - ??????????????????????????????????????????????
? - ?????,????????????,???????????6????
- ?????,?????????????(????3??),???3?????,?????????
28 1 ????????????
- ????????(??)
- ??CF(????)???
- ??r??????????
- c?????????????????
- n????????????????
- ????????,??????,????????????????????,??????1,
??,??????1
29 1 ????????????
- ????????(??)
- ??????????14,??????18?4??,??CF?
- ????CF,??????????18?3??,??????????????????3??????
?,???????8 ? - ????????x,?
??x1.9804,????3??????????,????1.6373/1.0198041.
6055,??????0.035,? - CF 1.6055-0.0351.5705
30 1 ????????????
31 1 ????????????
32 1 ????????????
- ????????
- ????????????????????????????????????,?????????????
? - ??????????????-???????
- (????????)-????
- ????-????????
???????
331 ????????????
341 ????????????
- ?7-8
- ??1999?9????????????????????2020?????????12.75???
?????6?19?????????142-09,?????1.4546,??????5?15??1
1?15?,?????????????45????6?19??9????????????????
352 ?????????
- ???????????????????????,????????????????????,?????
????????????????????????????????????(????????),???
????????????,???????????????,????????????????
362 ?????????
- ???????????????????????,????????????????????,?????
???????????????????(????????)??????????????,??????
??????????,???????????????,??????????
372 ?????????
?? ???? ??????
?? ???? ????
?? ???? ????
38 2 ?????????
?? ??
1.15 ????????????10????????????????????3???????.???????????3?????????????????? ?89.5?????30?3????????????
2.15 ??3????,?92.5?????3?????????( 7.5) ?91.8?????30?3????????????
?? 3??(7.5-10)90/360 -187500(??) (91.8-89.5)/0.01 2530172500
39 2 ?????????
- ???????????
- ????????????????5??,?????9.75,?????8????????????
,??200??????,???????????,???CME?90.30???2?9???????
????????8???????,??9???????88.00?,??????2?9????,??
?12?????200???? - ???????????????????11250??,???????????11500?????
?????60000-1150048500???????48 500/2 000 000
4 0.97(9.7)
40 2 ?????????
- ???????????
- ????????????????????3?????????
?? ??
6.10 ?????3??????????2??????,??6??????????12,????????????,??????? ??40?9?????3????????????,???89.5,?????3.895?????
9.10 6???????????10.5,?????2????,??????89.5???????? ??,???91,????3.91?????
?? ????????150????,?????150000,2??(10.5-12)180/360- -150000(??) 150000??
41 2 ?????????
- ???????????
- ?????????????????????????????????
?? ??
4.7 90?????????12,????1??????????1????90????,?????????97000,000 ??86?6?????3???bill??,???91 (?????,90??bill?90??????????????0.86,? ???????1???/1????0.8686?)
5.7 90???????????14,?????????1????90????,??96500,000?? ??86???,???88.7
?? 96500000-9700000-500000 (91-88.7)/0.01 2586494500
42 2 ?????????
43- ?????????
- ???????????????????????????,??????????????????????
????????? - ????,???????????????????
44- ????????
- ??????????? ?????
- ?????????????????
- ?????????????????(?)/????????????(?)
- ?????????????????????????
- ???????
- ???????
- ?????
452 ?????????
462 ?????????
47- ????????
- ????????? ?????
- (??BPV ? ???) (??BPV ? ???)
- ??BPV ??BPV
- ?????????????????????????
- ??BPV ????? ? ???
- (?????????????????) ? ???
- ??????????BPV ????
48- ?????????????????????????????????,????????N,?????
????????????????N? - ????????????10????????90??????????????????10?????
??????72?? ,?????1.2 ,??????????????????? - ???????????72??1.260??
- ??????????,??????????????????,??????????????3
?
49 2 ?????????
50 2 ?????????
- ?????????????
- ?? ????????????????
???????????????? - DC ????????
- Df ????????????????????(???
- ??????)
- HR ????
51 52 2 ?????????
- ?????????????
- ?????????1????,2016???,????9.25???????,???bond??
??????,?????????9.5?,?????116,??????10.45?,???91-1
2,??????? - ???????1.15?????
- ????????????????????
533 ???????
- ????
- ?????????????????????,?????????????
- 3?????????????
- ?????9???12???????????????????????
???? ??(IMM??) ??(???)
6? 90.00 -
9? 91.00 100
12? 92.20 120
54- 3??????????????(8?30?)
- 8?30???,??500??(2520)
???? ??(IMM??) ??(???)
9? 91.80 -
12? 92.80 100
55- ?????
- ?????????????????,??????????????
- ?????????????????,??????????????
- ??????,?????????? ???????????????????????????
?????? ???? ?? ????
?? ??????? ?? ????
?? ??????? ?? ????
56- ????
- ?????????????????????,??????????,?????????????
- ???????????????,????????????,?????????????????