摘要：国债期货独有的交割制度以及复杂的基差影响因素，共同决定了套利机会将长期存在于市场中。时值中国重启国债期货交易，对我国新版国债期货合约的套利研究将具有十分重要的现实意义和实用价值。国债期货的套利空间与其理论价格密切相关，而国债期货的理论价格由一篮子债券中的最便宜可交割券决定。因此，对最便宜可交割债券的研究是分析国债期货套利策略，尤其是基差交易的基础。本文首先简要阐述了中国国债期货发展历史与经验教训，接着重点通过对套利交易的相关理论要素的解释，推论出最便宜可交割券的选择。然后详细介绍了3大套利策略中的期现套利和基差交易，并在此基础上以真实国债期货合约作为样本进行定量分析，力求做到理论联系实际。最后就套利过程中的出现的问题提出相应对策。

关键字：国债期货  最便宜可交割券 套利

Abstract: The unique delivery system and complex basis factors of bond futures both determine that arbitrage opportunities will exist in the market for a long term. When China restarted bond futures, analyzing arbitrage of the new version of bond futures contract will have a very important significance and practical value. Arbitrage space are closely related to their theoretical prices of bond futures, which are determined by Cheapest-to-Deliver bonds. Therefore, discussing the Cheapest-to-Deliver bonds means the foundation that analyze the bond futures arbitrage strategy, especially  basis trading. This article briefly describes the history and development of Chinese bond futures market, focuses on the relevant theoretical elements through interpreting arbitrage transactions and infers how to select Cheapest-to-Deliver bonds. Then the article describes particularly the three major arbitrage strategies and Basis trading, and gives a true bond futures contract as samples for quantitative analysis. Finally, it discusses the ways to deal with some situations in the process of arbitrage. 

Key words: bond futures  Cheapest-to-Deliver bonds  arbitrage