請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/89189
標題: | OIS市場利率交換曲度交易策略統整及實證研究 Interest Rate Swap Curvature Trading Strategy in OIS Market: Integration and Empirical Research |
作者: | 戴育詩 Yu-Shih Tai |
指導教授: | 李賢源 Shyan-Yuan Lee |
關鍵字: | 利率交換,OIS市場,固定收益,SOFR利率,利率曲度, Interest swap,OIS Market,Fixed income,SOFR,Interest curvature, |
出版年 : | 2023 |
學位: | 碩士 |
摘要: | 本文以分析美國Overnight Indexed Swap (OIS)市場利率交換曲度交易策略為主題。近年來,受到疫情影響,FED實施了一系列的貨幣政策,其中又以調整政策利率為主要手段,使得市場上利率波動度增高。本研究目標是分析在預期利率波動造成利率曲線改變的情況下,如何去執行利率曲度交易策略以達到獲利或避險的目的。
本文歸納了三種常見運用在固定收益市場的交易策略,並著重以蝴蝶價差交易策略為例進行了兩項實證研究。以前文獻多透過債券去建構蝴蝶價差策略,然而,放空債券的成本太高導致實務上不太可行,因此本研究透過OIS Market去建構蝴蝶價差策略避免上述問題發生,使得放空部位不會有限制,以達到策略的可行性及有效性。 This thesis analyzes the interest rate swap curvature trading strategy of the US Overnight Indexed Swap (OIS) market. In recent years, affected by the epidemic, the FED has implemented a series of monetary policies, among which the adjustment of policy interest rates leads to increasing the volatility of interest rates in the market. This research aims to analyze how to implement the interest rate curvature trading strategy to achieve the purpose of profit or hedging when the interest rate curve is expected to fluctuate. This article summarizes three common trading strategies used in the fixed-income market and focuses on two empirical research using the butterfly spread trading strategy. Previous literature mostly used bonds to construct the butterfly spread strategy. However, shorting bonds costs too much to be practically feasible. Therefore, this study uses OIS Market to build the butterfly spread strategy to avoid the above problems so there will be no restrictions on short positions and to achieve the feasibility and effectiveness of the process. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/89189 |
DOI: | 10.6342/NTU202301636 |
全文授權: | 同意授權(限校園內公開) |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-111-2.pdf 目前未授權公開取用 | 2.49 MB | Adobe PDF | 檢視/開啟 |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。