文章研究了基于择券和择时的国债期货定价问题, 提出了在随机利率模型下, 同时 量化``择券期权''和``择时期权''的算法. 通过对2015年至2017年中国国债期货市场进行实证研究, 发现该算法对市值拟合度较高, 并为敏感性因子计算和风险管理提供有力的支持. 此外文章还分析了市场利率环境发生变化时``择券期权''和``择时期权''的特点, 发现极端利率环境下, 需要对``期权''价值重点关注.

This paper considers the pricing of Treasury bond futures embedded quality option and timing option, and proposes a pricing algorithm that can handle quality option and timing option simultaneously under stochastic interest rate model. Through empirical analysis of the Chinese government bond futures market from 2015 to 2017, it is found that the model result fits the market price well, and can be applied to sensitivity factor calculation and risk management. In addition, this paper analyzes the characteristics of quality option and timing option under different interest rate environments, and concludes that it is necessary to pay attention to option values of Treasury bond futures under extreme interest rate environment.