預期寬鬆財政政策下之交換利差策略研究

Abstract

2016年中，多數的券商報告與分析師皆預期不論是川普或是希拉蕊當選美國總統，未來都將實施寬鬆財政政策。 在預期未來公債殖利率將會上升的情況下，投資人可放空長券、放空長期債券期貨、持有利率買權、抑或是組一個交換選擇權的投資組合等等，而本篇論文主要在探討最後一種作法。在預期未來將實施寬鬆財政政策下，進入三個交換選擇權利差策略，並追蹤策略至今，觀察策略損益。此外，本論文亦欲探討對投資人來說，在進入策略當天，零成本進入策略、先付權利金、或是先收權利金等，對投資人的報償曲線有何差異。最後，透過程式建構波動度曲面，觀察市場的資料建構的波動度曲面與自行建構的波動度曲面差異，並用SABR 模型描繪微笑曲線，建立可獲得任意執行利率的波動度的方法。 本研究在第一章會先簡介進行此研究的背景。並在第二章回顧重要文獻，以及說明為何決定使用 SABR 模型來描繪微笑曲線，透過整合波動度曲線與微笑曲線即可建構出三維度的波動度曲面。第三章敘述本篇論文使用的方法SABR 模型方程式。最後，實證結果及過程將於第四章詳細介紹。

In mid-2016, the majority of broker’s reports and analysts expect that expansionary fiscal policy will be implemented in the future whether the president of the United States is Trump or Hillary. In the event that the bond yield is going to rise, investors can short long-term bonds, short long-term bond futures, or compose a swaption spread strategies etc, and this research mainly to discuss the last approach. As a result, this paper intends to implement three strategies under expansionary fiscal policy expectations, then tracing their return until now. In addition, this paper also explores that on the day investors enter strategy, what’s the differences of future returns between zero-cost, pay premium, and receive premium strategies. Moreover, establish a mechanism which volatility could be derived given by arbitrary bps(strike). This mechanism also provides the function of comparing the differences of volatility surface built by market data with by self-constructed. The first section will describe the background of this study. Section two provides a literature reviews, and explains why fitting the smiling curve by using SABR model in the end. Through integrating the volatility curves and smile curves can construct three-dimension Volatility Surface. Section three give a description of SABR model equation used in this thesis. Finally, the empirical results and the processes will be elaborated in Section four.