{"id":7042,"date":"2024-03-21T18:54:09","date_gmt":"2024-03-21T16:54:09","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7042"},"modified":"2024-08-18T17:11:07","modified_gmt":"2024-08-18T15:11:07","slug":"dluhopisy-xvii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7042","title":{"rendered":"Dluhopisy \u2013 XVII."},"content":{"rendered":"

\u00a0\u00a0 Pocit \u00fanavy ze slo\u017eitosti p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku<\/a><\/strong><\/span> s popisem derivac\u00ed cenov\u00e9 funkce kup\u00f3nov\u00e9ho dluhopisu a mo\u017en\u00e9 frustrace z nemo\u017enosti aplikovat zji\u0161t\u011bnou dolarovou hodnotu jednoho bazick\u00e9ho bodu na stotis\u00edcov\u00e9 dluhopisov\u00e9 portfolio s hed\u017eov\u00e1n\u00edm pomoc\u00ed stotis\u00edcov\u00e9ho dluhopisov\u00e9ho futures, proto\u017ee t\u011bchto sto tis\u00edc dolar\u016f prost\u011b nem\u00e1m, by mohly vykompenzovat n\u00e1sleduj\u00edc\u00ed \u0159\u00e1dky \u010dl\u00e1nku, kter\u00e9 by mohly posunout nabyt\u00e9 znalosti k b\u011b\u017en\u011bj\u0161\u00edmu pou\u017eit\u00ed na men\u0161\u00edch obchodn\u00edch \u00fa\u010dtech a nab\u00eddnout \u0159e\u0161en\u00ed, kter\u00e9 lze aplikovat v b\u011b\u017en\u00e9 tradersk\u00e9 praxi.<\/span><\/p>\n

\u00a0\u00a0 \u0158\u00eddit statis\u00edcov\u00e1 dluhopisov\u00e1 portfolia nen\u00ed pro b\u011b\u017en\u00e9ho obchodn\u00edka z\u0159ejm\u011b obvykl\u00fd ka\u017edodenn\u00ed chl\u00e9b, a toto zji\u0161t\u011bn\u00ed si patrn\u011b uv\u011bdomili tak\u00e9 organiz\u00e1to\u0159i burzy s \u201evelk\u00fdmi\u201c dluhopisov\u00fdmi Treasury futures kontrakty a nab\u00eddli obchodn\u00edk\u016fm velmi smysluplnou n\u00e1hradu, kter\u00e1 bude plnit stejn\u00e9 \u00fa\u010dely, m\u016f\u017ee b\u00fdt dokonce pochopiteln\u011bj\u0161\u00ed a bude hlavn\u011b respektovat b\u011b\u017en\u011bj\u0161\u00ed men\u0161\u00ed rozsahy obchodn\u00edch \u00fa\u010dt\u016f. Dluhopisov\u00e1 Treasury futures, kop\u00edruj\u00edc\u00ed americk\u00e9 vl\u00e1dn\u00ed dluhopisy s Face Value v hodnot\u011b 100.000,- USD, ale nedostala od sv\u00fdch tv\u016frc\u016f pouh\u00e9 men\u0161\u00ed klony jako v p\u0159\u00edpad\u011b ostatn\u00edch (nap\u0159\u00edklad indexov\u00fdch) futures, minifutures a microfutures, ale Yield futures, jak\u00e9si \u201edluhopisov\u00e9 microfutures\u201c, byly obda\u0159eny zcela jin\u00fdmi vlastnostmi a konstrukc\u00ed, ne\u017e jejich hodnotn\u011bj\u0161\u00ed varianty popisovan\u00e9 v p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch.<\/span><\/p>\n

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Dluhopisov\u00e9<\/span> Treasury futures (rekapitulace) \u00a0<\/strong>\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/h1>\n

\u00a0\u00a0 N\u00e1kup ZNH4<\/strong> dluhopisov\u00e9ho futures<\/strong>, klasick\u00e9ho Treasury dluhopisov\u00e9ho term\u00ednovan\u00e9ho kontraktu s expirac\u00ed v b\u0159eznu 2024<\/strong> znamen\u00e1 zaujmout expozici v podkladov\u00e9m desetilet\u00e9m<\/strong> americk\u00e9m vl\u00e1dn\u00edm kup\u00f3nov\u00e9m dluhopisu<\/strong> s Face Value <\/strong>ve v\u00fd\u0161i 100.000 USD<\/strong> do doby expirace tohoto dluhopisov\u00e9ho futures bez n\u00e1roku na kup\u00f3novou v\u00fdplatu. Cenov\u00e9 zm\u011bny<\/strong> na tomto dluhopisov\u00e9m futures<\/strong> jsou odvozeny od zm\u011bny ceny<\/strong> tohoto podkladov\u00e9ho dluhopisu<\/strong>, kter\u00e9 jsou vyvol\u00e1ny zm\u011bnami odpov\u00eddaj\u00edc\u00edch tr\u017en\u00edch \u00farokov\u00fdch sazeb, v tomto konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b desetilet\u00fdch \u00farokov\u00fdch sazeb. Zm\u011bna ceny dluhopisov\u00e9ho futures kontraktu o jeden bod p\u0159edstavuje cenov\u00fd pohyb 1.000,- USD a vypo\u0159\u00e1d\u00e1n\u00ed tohoto dluhopisu (popisovan\u00e9 v \u010dl\u00e1nku Dluhopisy \u2013 XIV.<\/a><\/strong><\/span>) prob\u00edh\u00e1 dod\u00e1n\u00edm fyzick\u00e9ho dluhopisu s\u00a0upravenou cenou vybran\u00e9ho z\u00a0ko\u0161e dluhopis\u016f vhodn\u00fdch pro vypo\u0159\u00e1d\u00e1n\u00ed. U Interactive Brokers (m\u00e9ho brokera) je toto vypo\u0159\u00e1d\u00e1n\u00ed nemo\u017en\u00e9, a proto mus\u00edm dluhopisov\u00e9 futures p\u0159ed procedurou settlement uzav\u0159\u00edt likvidac\u00ed na voln\u00e9m trhu. Proto\u017ee toto dluhopisov\u00e9 futures<\/strong> cenov\u011b reaguje<\/strong> na zm\u011bnu ceny podkladov\u00fdch dluhopis\u016f<\/strong>, tak plat\u00ed, \u017ee pokud tr\u017en\u00ed \u00farokov\u00e9 sazby odpov\u00eddaj\u00edc\u00ed dob\u011b do splatnosti dluhopisu klesaj\u00ed, cena dluhopis\u016f nar\u016fst\u00e1, nar\u016fstat tak bude tak\u00e9 hodnota odpov\u00eddaj\u00edc\u00edho dluhopisov\u00e9ho futures. Naopak, pokud tr\u017en\u00ed \u00farokov\u00e9 sazby odpov\u00eddaj\u00edc\u00ed dob\u011b do splatnosti dluhopisu rostou, cena dluhopis\u016f kles\u00e1 a klesat tak bude tak\u00e9 hodnota odpov\u00eddaj\u00edc\u00edho dluhopisov\u00e9ho futures. Cenovou z\u00e1vislost<\/strong> zm\u011bny tr\u017en\u00edch \u00farokov\u00fdch sazeb a hodnoty dluhopis\u016f pak zachycuj\u00ed kvantifik\u00e1tory jako je durace<\/strong> a s\u00a0n\u00ed spojen\u00e1 konvexnost dluhopisu<\/strong> a v\u00a0minul\u00e9m \u010dl\u00e1nku popisovan\u00e1 hodnota DV01<\/strong>, tedy dolarov\u00e9 vyj\u00e1d\u0159en\u00ed citlivosti zm\u011bny ceny dluhopisu p\u0159i zm\u011bn\u011b \u00farokov\u00fdch sazeb o jeden bazick\u00fd bod. Mohu pak tyto vlastnosti pro podkladov\u00fd dluhopis aplikovat tak\u00e9 na toto \u201evelk\u00e9\u201c dluhopisov\u00e9 futures a pozn\u00e1vat, jak\u00e1 je jeho durace a zejm\u00e9na hodnota DV01, tedy mohu odvodit, jak toto dluhopisov\u00e9 futures zm\u011bn\u00ed svou cenu, pokud dojde ke zm\u011bn\u011b tr\u017en\u00edch \u00farokov\u00fdch sazeb, v\u0161echny tyto hodnoty jsou pak ke zji\u0161t\u011bn\u00ed na str\u00e1nk\u00e1ch Treasury Analytics<\/a><\/strong><\/span>. Toto by mohlo b\u00fdt jednoduch\u00e9 minimalistick\u00e9 shrnut\u00ed vlastnost\u00ed dluhopisov\u00e9ho futures, kter\u00e9 jsem zapojoval v\u00a0minul\u00fdch \u010dl\u00e1nc\u00edch do sv\u00fdch \u00favah.<\/span><\/p>\n

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\u00a0Yield futures nen\u00ed Dluhopisov\u00e9 \u201emicrofutures\u201c<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Yield futures<\/strong> jsou op\u011bt v\u00fdrobkem CME a jeho z\u00e1kladn\u00ed charakteristiku lze nal\u00e9zt na str\u00e1nk\u00e1ch t\u00e9to burzy<\/a><\/strong><\/span>. Pokud p\u0159i zkoum\u00e1n\u00ed jeho vlastnost\u00ed na internetu naraz\u00edte na term\u00edny jako \u201etreasury microfutures\u201c nebo \u201emicro treasury futures\u201c, budete patrn\u011b zkoumat stejn\u00e9 dluhopisov\u00e9 deriv\u00e1ty – Yield futures kontrakty, kter\u00e9 budu nyn\u00ed popisovat, nicm\u00e9n\u011b toto ozna\u010den\u00ed nen\u00ed fakticky zcela spr\u00e1vn\u00e9 a m\u016f\u017ee b\u00fdt tak\u00e9 zav\u00e1d\u011bj\u00edc\u00ed. Yield futures<\/strong> toti\u017e nejsou v \u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b n\u011bjak\u00e9 desetiny, setiny \u010di tis\u00edciny \u201evelk\u00fdch\u201c Treasury dluhopisov\u00fdch futures (popisovan\u00e9 v minul\u00fdch \u010dl\u00e1nc\u00edch), ale jsou to zcela specifick\u00e9 produkty<\/strong> vych\u00e1zej\u00edc\u00ed ze zcela jin\u00fdch podklad\u016f a sleduj\u00edc\u00ed zcela jin\u00e9 vlastnosti dluhopisov\u00fdch trh\u016f. Z\u00e1kladn\u00edm pozn\u00e1n\u00edm pak je, \u017ee pokud hodnota Treasury dluhopisov\u00e9ho futures<\/strong> kop\u00edruje cenu<\/strong> podkladov\u00e9ho dluhopisu<\/strong>, tak hodnota Yield futures<\/strong> kop\u00edruje jeho v\u00fdnos<\/strong>, a to je velmi odli\u0161n\u00e1 entita, spojen\u00e1 s nakl\u00e1d\u00e1n\u00edm s dluhopisy. Po\u0159\u00edzen\u00ed Treasury dluhopisov\u00e9ho futures je tak s\u00e1zka na jeho cenu, zat\u00edmco po\u0159\u00edzen\u00ed Yield futures je s\u00e1zkou na jeho v\u00fdnos. V\u00edm, \u017ee existuje vztah mezi v\u00fdnosem dluhopisu a jeho cenou, tak\u017ee pohyby obou futures budou \u201en\u011bjak\u00fdm zp\u016fsobem\u201c propojeny, nicm\u00e9n\u011b mus\u00edm ji\u017e z tohoto jednoduch\u00e9ho pozn\u00e1n\u00ed p\u0159ipustit, \u017ee to bude \u00fapln\u011b \u201ejin\u00fd \u0161\u00e1lek k\u00e1vy\u201c. Jak to tedy p\u0159esn\u011b je?<\/span><\/p>\n

\u00a0\u00a0 Aktu\u00e1ln\u011b se na CME obchoduj\u00ed \u010dty\u0159i<\/strong> r\u016fzn\u00e9 Yield futures<\/strong>, a proto\u017ee je b\u0159ezen roku 2024, mohu jejich p\u0159ehled s nejbli\u017e\u0161\u00ed expirac\u00ed vypozorovat na str\u00e1nk\u00e1ch burzy nyn\u00ed takto:<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku m\u00e1m pak mo\u017enost vypozorovat jejich burzovn\u00ed ozna\u010den\u00ed a tak\u00e9 jejich aktu\u00e1ln\u00ed hodnotu. Hodnota t\u011bchto jednotliv\u00fdch futures tak nep\u0159edstavuje hodnoty \u201ekolem stovky\u201c, jako v p\u0159\u00edpad\u011b klasick\u00e9ho Treasury dluhopisov\u00e9ho futures, ale jejich aktu\u00e1ln\u00ed cena odpov\u00edd\u00e1 aktu\u00e1ln\u00edm \u00farokov\u00fdm sazb\u00e1m americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f podle odpov\u00eddaj\u00edc\u00edch splatnost\u00ed vyzna\u010den\u00fdch v n\u00e1zvu Yield futures. Mohu pak porovnat p\u00e1te\u010dn\u00ed ceny z CME pro Yield futures v\u00fd\u0161e nap\u0159\u00edklad s p\u00e1te\u010dn\u00edmi cenami americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f ze zpravodajsk\u00e9ho webu Seeking Alfa:<\/span><\/p>\n

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\u00a0\u00a0 K\u00a0z\u00e1kladn\u00edmu porozum\u011bn\u00ed, jak Yield futures <\/strong>konkr\u00e9tn\u011b funguj\u00ed<\/strong>, m\u016f\u017ee poslou\u017eit koment\u00e1\u0159 ke specifikaci t\u011bchto dluhopisov\u00fdch kontrakt\u016f n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0(1) <\/span>– \u010casov\u00e1 struktura<\/span><\/strong><\/h3>\n

\u00a0\u00a0 Ze specifikace vypl\u00fdv\u00e1, \u017ee aktu\u00e1ln\u011b se obchoduj\u00ed pouze dv\u011b nejbli\u017e\u0161\u00ed<\/strong> Yield futures pro ka\u017ed\u00fd druh Yield futures. V p\u0159\u00edpad\u011b, kdy je b\u0159ezen 2024, mohu vyu\u017e\u00edt k obchodov\u00e1n\u00ed nap\u0159\u00edklad desetilet\u00e9 Yield futures s ozna\u010den\u00fdm 10YH4<\/strong> (b\u0159eznov\u00e9 Yield futures) a 10YJ4 <\/strong>(dubnov\u00e9 Yield futures), v\u00edce kontrakt\u016f na desetilet\u00e9 v\u00fdnosy se vzd\u00e1len\u011bj\u0161\u00edmi budouc\u00edmi expiracemi prozat\u00edm organiz\u00e1tor burzy CME nenab\u00edz\u00ed, obchodn\u00edk se tak mus\u00ed prozat\u00edm spokojit pouze s t\u00edmto dvoum\u011bs\u00ed\u010dn\u00edm investi\u010dn\u00edm horizontem.<\/span><\/p>\n

(2)<\/span> – Konec obchodov\u00e1n\u00ed je posledn\u00ed den v m\u011bs\u00edci<\/span><\/strong><\/h3>\n

\u00a0\u00a0 Obchodov\u00e1n\u00ed s Yield futures pro ka\u017ed\u00fd z m\u011bs\u00ed\u010dn\u00edch kontrakt\u016f kon\u010d\u00ed v tomto m\u011bs\u00edci posledn\u00ed obchodn\u00ed den tohoto m\u011bs\u00edce. Pot\u00e9 je Yield futures vypo\u0159\u00e1d\u00e1no a expiruje, nap\u0159\u00edklad 10YH4 – b\u0159eznov\u00e9mu Yield futures \u2013 kon\u010d\u00ed obchodov\u00e1n\u00ed 28.3.2024 (posledn\u00ed obchodn\u00ed den v m\u011bs\u00edci b\u0159eznu 2024).<\/span>\u00a0<\/span><\/p>\n

(3)<\/span> – DV01 je 10.00 USD<\/span><\/strong><\/h3>\n

\u00a0\u00a0 Dolarov\u00e1 hodnota<\/strong> pohybu \u00farokov\u00e9 sazby o jeden bazick\u00fd bod<\/strong> p\u0159edstavuje cenov\u00fd pohyb tohoto Yield futures o 10.00 USD<\/strong>. Nemus\u00edm tak nyn\u00ed slo\u017eit\u011b vyhled\u00e1vat DV01 jako u \u201evelk\u00e9ho\u201c Treasury dluhopisov\u00e9ho futures, kde je tato dolarov\u00e1 hodnota pohybu o jeden bazick\u00fd bod odvozena od DV01 podkladov\u00e9ho dluhopisu upraven\u00e1 o Conversion factor, jak bylo popisov\u00e1no v minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span>. Mohu tak jednodu\u0161e konstatovat, \u017ee pokud jsem nakoupil 10YH4 za 4.310 bodu a \u00farokov\u00e1 sazba se zm\u011bnila o +12 bazick\u00fdch bod\u016f na (4.310+12) \u00farove\u0148 4.322 bodu, bude m\u016fj v\u00fdd\u011blek (+12*10 USD) ve v\u00fd\u0161i +120 USD. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

(4)<\/span> – Cash Settlement<\/span><\/strong><\/h3>\n

\u00a0\u00a0 Vypo\u0159\u00e1d\u00e1n\u00ed<\/strong> Yield futures prob\u00edh\u00e1 v\u00a0pen\u011bz\u00edch<\/strong>. Vypo\u0159\u00e1d\u00e1n\u00ed po\u0159\u00edzen\u00e9ho Yield futures prob\u00edh\u00e1 za settlement cenu, kterou stanovuje mechanismus stanoven\u00ed benchmark\u016f pro americk\u00e9 vl\u00e1dn\u00ed dluhopisy formou procedury BrokerTec. Pro stanoven\u00ed vypo\u0159\u00e1dac\u00ed ceny se vyu\u017e\u00edv\u00e1 v\u00e1\u017een\u00fd pr\u016fm\u011br v\u00fdnos\u016f On-The-Run americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f v posledn\u00ed \u010dtvrthodin\u011b p\u0159ed 15:00 Eastern Time (podrobnosti nap\u0159\u00edklad zde<\/a><\/strong><\/span>). On-The-Run dluhopisy jsou obecn\u011b dluhopisy z nejmlad\u0161\u00edch emis\u00ed, u kter\u00fdch je zpravidla nejvy\u0161\u0161\u00ed likvidita. V\u00fdpo\u010det settlement ceny p\u0159edstavuj\u00edc\u00ed takto vypo\u010d\u00edtan\u00fd v\u00fdnos mohu sledovat na str\u00e1nk\u00e1ch CME zde<\/a><\/strong><\/span>\u00a0jako fixing pro rozhodn\u00fd \u010das vypo\u0159\u00e1d\u00e1n\u00ed. Pokud bych pou\u017eil p\u0159\u00edklad z\u00a0p\u0159edchoz\u00edho odstavce a m\u011bl po\u0159\u00edzen 10YH4 Yield futures za po\u0159izovac\u00ed cenu 4.310 bodu, tak na obr\u00e1zku n\u00ed\u017ee je patrn\u00e9, jak bych byl vypo\u0159\u00e1d\u00e1n, pokud by p\u00e1te\u010dn\u00ed ceny vypo\u0159\u00e1dac\u00ed ceny byly jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku:<\/span><\/p>\n

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\u00a0\u00a0 Vypo\u0159\u00e1d\u00e1n\u00ed za 4.302 bod\u016f<\/strong> by pro mnou dr\u017een\u00e9 10Y Long Yield futures po\u0159\u00edzen\u00e9 za 4.310 bod\u016f<\/strong> znamenalo ztr\u00e1tu (-4.310 + 4.302) ve v\u00fd\u0161i -0,008, co\u017e je -0,8 bazick\u00e9ho bodu a p\u0159edstavovalo by (-0,8*10 USD) dolarovou ztr\u00e1tu -8 USD<\/strong>. \u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Mohu tedy z\u00e1v\u011brem o vlastnostech Yield futures<\/strong> shrnout, \u017ee tyto futures kop\u00edruj\u00ed v\u00fdnosy<\/strong> americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f<\/strong> podle odpov\u00eddaj\u00edc\u00edch dob do splatnosti a nikoliv jejich cenu<\/strong>. Yield futures jsou vypo\u0159\u00e1d\u00e1ny v\u00a0hotovosti<\/strong> (Cash), kter\u00e1 je rozd\u00edlem vypo\u0159\u00e1dac\u00ed ceny a po\u0159izovac\u00ed ceny Yield futures, tedy nikoliv<\/strong> dod\u00e1n\u00edm<\/strong> podkladov\u00e9ho dluhopisu<\/strong>, jeho\u017e dod\u00e1n\u00ed nakonec u m\u00e9ho brokera nen\u00ed ani technicky mo\u017en\u00e9. Settlement cenu<\/strong> Yield futures ur\u010duje mechanismus burzy<\/strong> CME, kter\u00e1 tuto cenu zve\u0159ej\u0148uje na sv\u00fdch str\u00e1nk\u00e1ch a rozhoduj\u00edc\u00ed je pro m\u011b settlement cena posledn\u00ed obchodn\u00ed den v\u00a0m\u011bs\u00edci, ve kter\u00e9m se Yield futures s\u00a0n\u00e1zvem tohoto m\u011bs\u00edce obchoduje, podle t\u00e9to settlement ceny bude m\u016fj Yield futures kontrakt vypo\u0159\u00e1d\u00e1n. DV01<\/strong> (dolarovou hodnotu jednoho bazick\u00e9ho bodu) pro Yield futures nemus\u00edm zji\u0161\u0165ovat z\u00a0analytick\u00fdch platforem, ale je pevn\u011b d\u00e1na s\u00a0hodnotou 10.00 USD<\/strong> a znamen\u00e1 to, \u017ee pohyb v\u00fdnos\u016f americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f o jeden bazick\u00fd bod je ocen\u011bno zm\u011bnou ceny p\u0159\u00edslu\u0161n\u00e9ho Yield futures o +\/-10 USD. \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 V\u0161echny Yield futures jsou dostupn\u00e9<\/strong> k\u00a0obchodov\u00e1n\u00ed prost\u0159ednictv\u00edm m\u00e9ho brokera Interactive Brokers<\/strong>:<\/span><\/p>\n

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\u00a0\u00a0\u00a0 N\u00e1kup Yield futures je pak doprov\u00e1zen marginov\u00fdm po\u017eadavkem<\/strong> ve v\u00fd\u0161i n\u011bkolika stovek dolar\u016f:<\/span><\/p>\n

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\u00a0\u00a0 Initial Margin ve v\u00fd\u0161i 700 USD se p\u0159i overnight dr\u017een\u00ed zm\u011bn\u00ed na Maintenance Margin ve v\u00fd\u0161i 560 USD. Mohu pak tak\u00e9 vypozorovat, \u017ee n\u00e1kup 10YH4<\/strong> Yield futures za aktu\u00e1ln\u00ed cenu zobrazenou nap\u0159\u00edklad jako 4.32 se v platform\u011b TWS prom\u011bn\u00ed v Long pozici<\/strong> za 4320,- USD<\/strong>, pohyb o ka\u017edou jednu desetinu bazick\u00e9ho bodu<\/strong> (nap\u0159\u00edklad na cenu 4,321) se prom\u011bn\u00ed v Long hodnotu Yield futures na \u00farovni 4321,- USD a toto pos\u00edl\u00ed +1.00 USD<\/strong>. \u00a0<\/span><\/p>\n

\n

Yield futures v\u00a0praxi<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Je patrn\u00e9, \u017ee p\u0159i nakl\u00e1d\u00e1n\u00ed s Yield futures mohu jednodu\u0161eji, pochopiteln\u011bji a levn\u011bji reagovat na pohyb \u00farokov\u00fdch sazeb, ne\u017e tomu tak je u klasick\u00fdch Treasury dluhopisov\u00fdch futures popisovan\u00fdch v minul\u00fdch \u010dl\u00e1nc\u00edch. Odpad\u00e1 tak zejm\u00e9na v\u00fdznamn\u00e1 p\u00e1ka u t\u011bchto \u201evelk\u00fdch\u201c dluhopisov\u00fdch futures, kter\u00e9 kop\u00edruj\u00ed podkladov\u00e9 dluhopisy s Face Value ve v\u00fd\u0161i 100.000 USD a mohu tak pomoc\u00ed t\u011bchto \u201emikrokontrakt\u016f\u201c reagovat na situaci na trz\u00edch \u00farokov\u00fdch sazeb s daleko men\u0161\u00ed dolarovou expozic\u00ed .<\/span><\/p>\n

\u00a0\u00a0 P\u0159i zapojen\u00ed Yield futures do obchodov\u00e1n\u00ed si mohu p\u0159edstavit velmi mnoho sc\u00e9n\u00e1\u0159\u016f a kombinac\u00ed a mohu tak rozd\u011blit tyto obchody na p\u0159\u00edm\u00e9 transakce s\u00a0t\u011bmito Yield futures, na kombinace Yield futures s\u00a0dluhopisy a ostatn\u00edmi investi\u010dn\u00edmi n\u00e1stroji nav\u00e1zan\u00fdmi na dluhopisy a na spreadov\u00e9 kombinace mezi jednotliv\u00fdmi Yield futures. Proto\u017ee se spreadov\u00fdmi obchody s \u201evelk\u00fdmi\u201c\u00a0Treasury futures a pota\u017emo s\u00a0Yield futures budu v\u011bnovat v\u00a0samostatn\u00e9m \u010dl\u00e1nku, uk\u00e1\u017eu v\u00a0praktick\u00e9 modelov\u00e9 uk\u00e1zce pouze dv\u011b prvn\u00ed mo\u017enosti, jak Yield futures vyu\u017e\u00edt.<\/span><\/p>\n

Yield futures a FED<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Tr\u017en\u00ed \u00farokov\u00e9 sazby jsou formov\u00e1ny p\u0159edev\u0161\u00edm \u201ekurzotvorn\u00fdmi\u201c makroekonomick\u00fdmi ud\u00e1lostmi, pokud Yield futures odr\u00e1\u017eej\u00ed pohyb na \u00farokov\u00fdch sazb\u00e1ch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, bude jejich cena patrn\u011b formov\u00e1na v\u00fdznamn\u00fdmi a z\u00e1sadn\u00edmi ud\u00e1lostmi spojen\u00fdmi s popisem, fungov\u00e1n\u00edm, stimulac\u00ed nebo regulac\u00ed americk\u00e9 ekonomiky. Sd\u011blen\u00ed, jak\u00fd je aktu\u00e1ln\u00ed v\u00fdvoj tvorby hrub\u00e9ho dom\u00e1c\u00edho produktu, jak\u00e1 je zm\u011bna indexu spot\u0159ebitelsk\u00fdch cen, kolik dluhopis\u016f se prodalo v aktu\u00e1ln\u00ed dluhopisov\u00e9 aukci, jak\u00e1 je aktu\u00e1ln\u00ed m\u00edra nezam\u011bstnanosti nebo jak\u00e9 je rozhodnut\u00ed americk\u00e9 centr\u00e1ln\u00ed banky o \u00farokov\u00fdch sazb\u00e1ch jsou makroekonomick\u00e1 sd\u011blen\u00ed, kter\u00e1 bezpochyby ovliv\u0148uji trhy \u00farokov\u00fdch sazeb natolik, \u017ee jejich kvantifikace umo\u017en\u00ed v\u00fdznamn\u011bji pohnout s jejich aktu\u00e1ln\u00ed hodnotou. Mohu pak odhadovat, jak\u00fdm sm\u011brem se \u00farokov\u00e9 sazby vydaj\u00ed a jak mohu tento pohyb zobchodovat. Patrn\u011b nejv\u00fdznamn\u011bj\u0161\u00edm \u201emakrem\u201c v tomto smyslu je zased\u00e1n\u00ed americk\u00e9 centr\u00e1ln\u00ed banky (FED), jeho\u017e v\u00fdstupem je rozhodov\u00e1n\u00ed o p\u00e1smu, ve kter\u00e9m se bude pohybovat \u00farokov\u00e1 sazba do jej\u00edho dal\u0161\u00edho zased\u00e1n\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Zased\u00e1n\u00ed FOMC (Federal Open Market Comittee), kter\u00e9 rozhoduje o t\u011bchto \u00farokov\u00fdch sazb\u00e1ch, se kon\u00e1 osmkr\u00e1t za rok a jeho kalend\u00e1\u0159 je mo\u017en\u00e9 pozorovat na str\u00e1nk\u00e1ch FEDu zde<\/a><\/strong><\/span>. Na t\u00e9to \u010d\u00e1sti webu americk\u00e9ho FEDu lze pak nal\u00e9zt i minul\u00e9 z\u00e1pisy z prob\u011bhl\u00fdch zased\u00e1n\u00ed, nejd\u016fle\u017eit\u011bj\u0161\u00edm vzkazem z t\u011bchto str\u00e1nek je ale sd\u011blen\u00ed term\u00ednu n\u00e1sleduj\u00edc\u00edch zased\u00e1n\u00ed. Mohlo by m\u011b tak na startu leto\u0161n\u00edho roku 2024 zaujmout, \u017ee nejbli\u017e\u0161\u00ed zased\u00e1n\u00ed FEDu t\u00fdkaj\u00edc\u00ed se \u00farokov\u00fdch sazeb bude v posledn\u00edch dvou dnech m\u011bs\u00edce ledna 2024 (30.1. -31.1.2024) podle obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Je jist\u00e9, \u017ee toto lednov\u00e9 zased\u00e1n\u00ed a jeho v\u00fdsledek zve\u0159ej\u0148ovan\u00fd v 19:00 na\u0161eho zimn\u00edho \u010dasu v druh\u00e9m dni zased\u00e1n\u00ed, bude m\u00edt na aktu\u00e1ln\u00ed \u00farovn\u011b \u00farokov\u00fdch sazeb vliv, a\u0165 je zve\u0159ej\u0148ovan\u00e9 sd\u011blen\u00ed jak\u00e9koliv. Aktu\u00e1ln\u00ed p\u00e1smo<\/strong> \u00farokov\u00fdch sazeb v\u00a0rozsahu 525-550<\/strong> bazick\u00fdch bod\u016f platn\u00e9 pro za\u010d\u00e1tek roku 2024, s odkazem na aktu\u00e1ln\u00ed nejist\u00fd makroekonomick\u00fd v\u00fdvoj, bude pravd\u011bpodobn\u011b zachov\u00e1no a \u017e\u00e1dn\u00e9 sni\u017eov\u00e1n\u00ed\/zvy\u0161ov\u00e1n\u00ed se neo\u010dek\u00e1v\u00e1. Mohu si toto o\u010dek\u00e1v\u00e1n\u00ed \u201enechat zm\u011b\u0159it\u201c pomoc\u00ed n\u00e1stroje CME TreasuryWatch Tool<\/strong>, kter\u00fd je k dispozici zde<\/a><\/strong><\/span>. Krom\u011b jin\u00fdch \u010d\u00edseln\u00fdch a grafick\u00fdch ukazatel\u016f t\u00fdkaj\u00edc\u00edch se FEDu a dluhopisov\u00fdch trh\u016f mohu pozorovat odhad pravd\u011bpodobnosti, s jakou nastane zm\u011bna \u00farokov\u00fdch sazeb. Na obr\u00e1zku n\u00ed\u017ee je n\u00e1hled na tuto pravd\u011bpodobnost pro nejbli\u017e\u0161\u00ed lednov\u00e9 zased\u00e1n\u00ed FEDu pr\u00e1v\u011b pomoc\u00ed tohoto n\u00e1stroje:<\/span><\/p>\n

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\u00a0 Vypad\u00e1 to, \u017ee pouze pravd\u011bpodobnosti<\/strong> na \u00farovni 2.60%<\/strong> se p\u0159isuzuje sn\u00ed\u017een\u00ed \u00farokov\u00fdch sazeb<\/strong>, kdy\u017e zbytek pravd\u011bpodobnosti ve v\u00fd\u0161i 97.40%<\/strong> ukazuje na setrv\u00e1n\u00ed<\/strong> \u00farovn\u011b \u00farokov\u00fdch sazeb v sou\u010dasn\u00e9m p\u00e1smu<\/strong>. Mohu si pak toto ozn\u00e1men\u00ed vz\u00edt jako berli\u010dku pro m\u00e9 p\u0159esv\u011bd\u010den\u00ed, \u017ee se takto opravdu stane a \u00farokov\u00e9 sazby z\u016fstanou nezm\u011bn\u011bny. Pokud je tedy pravd\u011bpodobn\u00e9, \u017ee se na trz\u00edch \u00farokov\u00fdch sazeb neschyluje k n\u011bjak\u00e9 v\u00fdznamn\u011bj\u0161\u00ed bou\u0159i, mohu p\u0159edpokl\u00e1dat, \u017ee se v\u00fdvoj \u00farokov\u00fdch sazeb nebude p\u0159\u00edli\u0161 m\u011bnit a \u00farokov\u00e9 sazby budou obecn\u011b setrv\u00e1vat na sv\u00fdch sou\u010dasn\u00fdch \u00farovn\u00edch. Mohu se pak odchylku od tohoto p\u0159esv\u011bd\u010den\u00ed pokusit zobchodovat pomoc\u00ed Yield futures, a proto\u017ee je 2.1.2024 a zased\u00e1n\u00ed se po\u0159\u00e1d\u00e1 30.1. \u2013 31.1.2024 vyu\u017eiji pro tento obchod 10YG4 futures, tedy \u00fanorov\u00e9 futures, kter\u00e9 se obchoduje a\u017e do posledn\u00edho obchodn\u00edho dne \u00fanora 2024. \u00a0<\/span><\/p>\n

\u00a0 M\u00e1m luxus pohledu do zp\u011btn\u00e9ho zrc\u00e1tka (aktu\u00e1ln\u011b je b\u0159ezen 2024), tak\u017ee si mohu sv\u016fj modelov\u00fd obchod se zobchodov\u00e1n\u00edm zased\u00e1n\u00ed FEDu pomoc\u00ed \u00fanorov\u00e9ho Yield futures nyn\u00ed namodelovat tak, jak pot\u0159ebuji a aby jeho v\u00fdsledek byl uspokojiv\u00fd, nicm\u00e9n\u011b mi jde hlavn\u011b o princip, na kter\u00e9m byl tento obchod zalo\u017een. Na obr\u00e1zku n\u00ed\u017ee je cenov\u00fd pr\u016fb\u011bh desetilet\u00e9ho \u00fanorov\u00e9ho Yield futures:<\/span><\/p>\n

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\u00a0\u00a0 Mohu na obr\u00e1zku vypozorovat, \u017ee p\u0159esto\u017ee sn\u00ed\u017een\u00ed<\/strong> \u00farokov\u00fdch sazeb bylo m\u00e1lo pravd\u011bpodobn\u00e9<\/strong>, alespo\u0148 podle odhad\u016f n\u00e1stroje zve\u0159ej\u0148ovan\u00e9ho na str\u00e1nk\u00e1ch CME popisovan\u00e9ho v\u00fd\u0161e, k poklesu desetilet\u00fdch tr\u017en\u00edch \u00farokov\u00fdch sazeb a ceny \u00fanorov\u00e9ho desetilet\u00e9ho Yield futures sm\u011brem k bl\u00ed\u017e\u00edc\u00edmu se zve\u0159ejn\u011bn\u00ed rozhodnut\u00ed o jejich v\u00fd\u0161i pro dal\u0161\u00ed obdob\u00ed doch\u00e1zelo celkem vydatn\u011b. Mohu pak vypozorovat, \u017ee p\u0159i Close dne 31.1.2024<\/strong>, v den zve\u0159ejn\u011bn\u00ed rozhodnut\u00ed o tom, \u017ee \u00farokov\u00e9 sazby<\/strong> z\u016fstanou i nad\u00e1le stejn\u00e9<\/strong>, \u010dinila cena 10YG4 Yield futures 3.940<\/strong>, tedy 394 bazick\u00fdch bod\u016f nebo 3940,- USD. Na n\u00e1sleduj\u00edc\u00edm obr\u00e1zku je pak vyobrazena mo\u017enost vstoupit do obchodu pr\u00e1v\u011b v tento den s projekc\u00ed dal\u0161\u00edho v\u00fdvoje:<\/span><\/p>\n

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\u00a0\u00a0 N\u00e1kup<\/strong> 10YG4 futures na cen\u011b 3.940 bodu<\/strong> na Close dne vyhl\u00e1\u0161en\u00ed v\u00fdsledk\u016f zased\u00e1n\u00ed FEDu ve st\u0159edu 31.1.2024<\/strong> a jeho likvidace o t\u0159i obchodn\u00ed dny pozd\u011bji<\/strong> v\u00a0n\u00e1sleduj\u00edc\u00ed pond\u011bl\u00ed 5.2.2024<\/strong> na Close cen\u011b na \u00farovni 4.160 bodu<\/strong> by nevypadalo na \u0161patn\u00fd obchod, tento by zakon\u010dil profitem (-3940 USD + 4160 USD) ve v\u00fd\u0161i +220 USD<\/strong><\/span>. Je jasn\u00e9, \u017ee jsem v\u016fbec nemohl p\u0159edpokl\u00e1dat, \u017ee se \u00farokov\u00e9 sazby budou takto chovat, nicm\u00e9n\u011b p\u0159esv\u011bd\u010den\u00ed, \u017ee pravd\u011bpodobnost ponech\u00e1n\u00ed \u00farokov\u00fdch sazeb v p\u00e1smu 525-550 se rovnala t\u00e9m\u011b\u0159 jistot\u011b mi d\u00e1valo mo\u017enost p\u0159edpokl\u00e1dat, \u017ee na dlouh\u00fdch splatnostech (desetilet\u00e9 Yield futures) se nevytvo\u0159\u00ed tak hlubok\u00e9 a d\u00e9letrvaj\u00edc\u00ed lok\u00e1ln\u00ed dno a tato diskrepance bude m\u00edt jen malou \u017eivotnost. Je to ale jen ot\u00e1zka m\u00e9ho aktu\u00e1ln\u00edho n\u00e1zoru na trh s \u00farokov\u00fdmi sazbami a uk\u00e1zka, jak je mo\u017en\u00e9 tento n\u00e1zor velmi jednodu\u0161e a pochopiteln\u011b zobchodovat. Ned\u011bl\u00e1m si v\u016fbec \u017e\u00e1dn\u00e9 ambice s p\u0159esn\u00fdmi predikcemi pohybu \u00farokov\u00fdch sazeb a takto proveden\u00fd obchod by m\u011b pravd\u011bpodobn\u011b nenechal zcela klidn\u00fdm, je ale uk\u00e1zkou, jak takovou fundament\u00e1ln\u00ed zpr\u00e1vu na trz\u00edch \u00farokov\u00fdch sazeb zobchodovat. Mohu pak stejn\u011b aplikovat tento typ p\u0159\u00edm\u00e9ho obchodu s n\u00e1kupem\/shortov\u00e1n\u00edm Yield futures p\u0159i vyhl\u00e1\u0161en\u00ed CPI (indexu spot\u0159ebitelsk\u00fdch cen \u2013 inflace) nebo m\u00edry nezam\u011bstnanosti, kter\u00e9 jsou tak\u00e9 dobr\u00fdmi hybateli aktu\u00e1ln\u00edch \u00farokov\u00fdch sazeb. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

Yield futures a kup\u00f3nov\u00fd dluhopis<\/strong><\/span><\/h2>\n

\u00a0\u00a0 V\u00a0p\u0159\u00edkladu v\u00a0minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> jsem se pokou\u0161el n\u00e1kup<\/strong> americk\u00e9ho vl\u00e1dn\u00edho kup\u00f3nov\u00e9ho dluhopisu<\/strong> omezit na inkaso kup\u00f3nu<\/strong> za dobu jeho dr\u017een\u00ed s\u00a0t\u00edm, \u017ee chci shortov\u00e1n\u00edm dluhopisov\u00e9ho futures zahed\u017eovat jeho cenov\u00fd pohyb. K\u00a0dokonalej\u0161\u00ed volb\u011b velikosti obou stran obchodu jsem vyu\u017eil vlastnost\u00ed DV01<\/strong> jak pro nakupovan\u00fd dluhopis, tak pro zaji\u0161\u0165ovac\u00ed dluhopisov\u00e9 futures, jednodu\u0161e jsem cht\u011bl m\u00edt dolarov\u011b neutr\u00e1ln\u00ed obchod, kdy pohyb na jedn\u00e9 \u010d\u00e1sti investice bude kompenzov\u00e1n opa\u010dn\u00fdm pohybem na druh\u00e9 \u010d\u00e1sti obchodu, v\u00fdsledkem pak m\u011blo b\u00fdt inkaso benefitu n\u00e1le\u017eej\u00edc\u00edho kup\u00f3nov\u00e9mu dluhopisu \u2013 z\u00edsk\u00e1n\u00ed jeho \u010d\u00e1sti za dobu jeho dr\u017een\u00ed. Z\u00e1kladn\u00edm probl\u00e9mem pak bylo, \u017ee dluhopisov\u00e9 futures replikuje stotis\u00edcov\u00e9 dr\u017een\u00ed podkladov\u00e9ho dluhopisu, co\u017e je pro b\u011b\u017en\u00e9ho obchodn\u00edka v\u00a0drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f suma, kterou nedisponuje, popisovan\u00fd obchod tak byl pro mnoh\u00e9 \u010dten\u00e1\u0159e pouhou teori\u00ed. Existence Yield futures ale stav\u00ed tento typ obchodu do zcela jin\u00e9ho sv\u011btla, mohu toti\u017e takto obchodovat daleko men\u0161\u00ed objemy dluhopis\u016f, a nav\u00edc n\u00e1klady na marginov\u00fd po\u017eadavek budou tak\u00e9 daleko p\u0159\u00edzniv\u011bj\u0161\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Na obr\u00e1zku n\u00ed\u017ee je americk\u00fd vl\u00e1dn\u00ed kup\u00f3nov\u00fd dluhopis s\u00a0CUSIP 912810FT0<\/strong> se splatnost\u00ed 15.\u00fanora 2036<\/strong> a s\u00a0kup\u00f3nem ve v\u00fd\u0161i 4,50% p.a.<\/strong><\/span><\/p>\n

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\u00a0 \u00a0Mohu vypozorovat, \u017ee DV01<\/strong> tohoto dluhopisu je 0,0968 USD <\/strong>a znamen\u00e1 to, \u017ee pokud investuji do tohoto dluhopisu 1000 USD, bude zm\u011bna \u00farokov\u00e9 sazby o jeden bazick\u00fd bod p\u0159edstavovat zm\u011bnu cenu dluhopisu o 0,968 USD<\/strong> (1)<\/span><\/strong>. Pokud bych se rozhodl investovat do tohoto dluhopisu \u010d\u00e1stku 10.000 USD <\/strong>Face Value, p\u0159edstavoval by pohyb o jeden bazick\u00fd bod cenov\u00fd pohyb na t\u00e9to investici o +\/- 9,68 USD<\/strong>. Z textu v\u00fd\u0161e pak mohu vypozorovat, \u017ee desetilet\u00e9 Yield futures<\/strong>, kter\u00e9 nejv\u00edce odpov\u00edd\u00e1 dob\u011b do splatnosti dluhopisu m\u00e1 DV01<\/strong> na hodnot\u011b 10 USD<\/strong>, tedy stejn\u00fd pohyb o jeden bazick\u00fd bod p\u0159edstavuje zm\u011bnu ceny tohoto Yield futures o +\/-10 USD<\/strong>. Mohu si pak p\u0159edstavit obchod sestaven\u00fd s 10.000 USD investovan\u00fdch do Face Value tohoto kup\u00f3nov\u00e9ho dluhopisu a z investice do jednoho Long Yield futures kontraktu. Pokud bych volil investici v obdob\u00ed od 2.1.2024 do 29.2.2024 a vyu\u017eil k tomuto \u00fanorov\u00e9 10YG4 Yield futures, mohl by obchod graficky vypadat n\u00e1sledovn\u011b:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku mohu vypozorovat, \u017ee ka\u017ed\u00fd pokles \u00farokov\u00e9 sazby a hodnoty Long 10YG4<\/strong> futures (\u010derven\u00e1 k\u0159ivka) odpov\u00edd\u00e1 r\u016fstu ceny americk\u00e9ho vl\u00e1dn\u00edho kup\u00f3nov\u00e9ho dluhopisu<\/strong> 912810FT0<\/strong> (modr\u00e1 k\u0159ivka), v obr\u00e1zku je tak\u00e9 op\u011bt zakresleno zased\u00e1n\u00ed FEDu doprov\u00e1zen\u00e9 zv\u00fd\u0161enou volatilitou na obou investi\u010dn\u00edch n\u00e1stroj\u00edch. Jak tedy mohu k obchodu p\u0159istoupit? Budu cht\u00edt zachytit ka\u017ed\u00fd pohyb \u00farokov\u00fdch sazeb na desetilet\u00fdch dluhopisech pomoc\u00ed desetilet\u00e9ho Yield futures, kter\u00e9 nakoup\u00edm Long, abych mohl kompenzovat pohyby na nakoupen\u00fdch dluhopisech s dobou do splatnosti odpov\u00eddaj\u00edc\u00ed po\u0159\u00edzen\u00e9mu Yield futures, budu tak Long 1*10YG4<\/strong> a Long 10.000*912810FT0<\/strong>, a to v obdob\u00ed od 2.1.2024<\/strong> do 29.2.2024<\/strong>. Za toto obdob\u00ed budu cht\u00edt neprod\u011blat na pohybu na dluhopisov\u00e9 investici a zachytit dvoum\u011bs\u00ed\u010dn\u00ed kup\u00f3n<\/strong> vypl\u00e1cen\u00fd ve v\u00fd\u0161i 4.50% p.a.<\/strong> z Face Value 10.000 USD m\u00e9 dluhopisov\u00e9 investice.<\/span><\/p>\n

\u00a0\u00a0 2.1.2024<\/strong> byla hodnota 10YG4<\/strong>, tedy \u00fanorov\u00e9ho Yield futures, na \u00farovni 3.930 bodu<\/strong> a n\u00e1kup tohoto futures tak p\u0159edstavuje investici -3930,00 USD<\/strong>, budu m\u00edt samoz\u0159ejm\u011b zablokovan\u00fd margin ve v\u00fd\u0161i n\u011bkolika stovek dolar\u016f, nicm\u00e9n\u011b tato \u010d\u00e1st investice se bude chovat jako v\u00fddaj -3.930,00 USD. Sou\u010dasn\u011b 2.1.2024<\/strong> by desetitis\u00edcov\u00e1 investice do dluhopisu <\/strong>s\u00a0CUSIP 912810FT0<\/strong> se splatnost\u00ed 15.\u00fanora 2036 a s\u00a0kup\u00f3nem ve v\u00fd\u0161i 4,50% p.a. p\u0159edstavovala v\u00fddaj -10.634,10 USD<\/strong>. Mohu pak na tuto slo\u017eenou investici nahl\u00ed\u017eet jako na celkov\u00fd v\u00fddaj<\/strong> ve v\u00fd\u0161i (-3.930,00 USD \u2013 10.634,10 USD) ve v\u00fd\u0161i -14.564,10 USD<\/strong>. Na obr\u00e1zku n\u00ed\u017ee pak mohu vypozorovat, jak se obchodu \u2013 celkov\u00e9 investici \u2013 da\u0159ilo za pozorovan\u00e9 prvn\u00ed dva m\u011bs\u00edce leto\u0161n\u00edho roku:<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku lze pozorovat dv\u011b k\u0159ivky. \u010cern\u00e1 k\u0159ivka<\/strong> zobrazuje cenov\u00fd v\u00fdvoj cel\u00e9ho slo\u017een\u00e9ho obchodu, investice<\/strong> do \u00fanorov\u00e9ho Yield futures<\/strong> a desetilet\u00e9ho kup\u00f3nov\u00e9ho dluhopisu<\/strong> v\u00a0pom\u011bru odpov\u00eddaj\u00edc\u00edmu stejn\u00e9mu DV01 obou \u010d\u00e1st\u00ed obchodu (jedno Long Yield futures + Long deset tis\u00edc dolar\u016f v\u00a0dluhopisech). Mohu pozorovat, \u017ee p\u016fvodn\u00ed investice ve v\u00fd\u0161i 14.564,10 USD<\/strong> u\u010din\u011bn\u00e1 dne 2.1.2024 zakon\u010dila na hodnot\u011b 14.597,50 USD<\/strong> posledn\u00ed \u00fanorov\u00fd den, tedy 29.4.2024 a vytvo\u0159ila drobn\u00fd profit (-14.564,10 USD + 14.597,50 USD) ve v\u00fd\u0161i +33,40 USD<\/strong><\/span>. P\u0159esto\u017ee tedy \u00farokov\u00e9 sazby na desetilet\u00fdch dluhopisech narostly z\u00a03,93% na hodnotu 4,25% za obchodovan\u00e9 obdob\u00ed, v\u00fdkon Long \u00fanorov\u00e9ho Yield futures zcela pokryl propad na dluhopisov\u00e9 investici a vytvo\u0159il dokonce men\u0161\u00ed profit. Zelen\u00e1 te\u010dkovan\u00e1 k\u0159ivka<\/strong> (s osou hodnot na prav\u00e9 stran\u011b obr\u00e1zku) pak zobrazuje chov\u00e1n\u00ed cel\u00e9 investice v \u010dase jej\u00edho dvoum\u011bs\u00ed\u010dn\u00edho dr\u017een\u00ed s ohledem na pr\u016fb\u011b\u017en\u00fd profit\/ztr\u00e1tu, kterou tato investice v pr\u016fb\u011bhu \u010dasu vykazovala. Z hodnoty nejni\u017e\u0161\u00edho bodu k\u0159ivky lze vypozorovat, \u017ee pr\u016fb\u011b\u017en\u00e1 maxim\u00e1ln\u00ed ztr\u00e1ta<\/strong> \u010dinila -95,90 USD<\/strong> a maxim\u00e1ln\u00ed profit<\/strong> se pr\u016fb\u011b\u017en\u011b pohyboval i na cen\u011b ve v\u00fd\u0161i +54,40<\/strong> a byl by tak m\u00edrn\u011b vy\u0161\u0161\u00ed, ne\u017e kone\u010dn\u00fdch +33,40 USD p\u0159i uzav\u0159en\u00ed obchodu. Mohu pak cel\u00fd obchod v\u010detn\u011b sumarizace kup\u00f3nov\u00e9ho p\u0159\u00edjmu vypozorovat na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Dvoum\u011bs\u00ed\u010dn\u00ed n\u00e1kup dluhopis\u016f zaji\u0161t\u011bn\u00fd dluhopisov\u00fdm Yield futures p\u0159inesl zhodnocen\u00ed<\/strong> na Yield futures (1)<\/span><\/strong> ve v\u00fd\u0161i +320 USD<\/strong>, zat\u00edmco dluhopisov\u00e1 slo\u017eka<\/strong> prod\u011blala -286,60 USD<\/span> (2)<\/strong><\/span>. Celkov\u011b<\/strong> slo\u017een\u00fd obchod p\u0159inesl profit +33,40 USD (3)<\/span><\/strong>. Inkaso kup\u00f3n\u016f ve v\u00fd\u0161i 4.50% p.a. za obdob\u00ed 2.1.2024 a\u017e 29.2.2024 (57 dn\u016f) by \u010dinilo +71.25 USD<\/strong> (4.)<\/strong><\/span> (viz v\u00fdpo\u010det v \u010dl\u00e1nku Dluhopisy \u2013 XV.<\/a><\/strong><\/span>). Mohu tak z\u00a0obr\u00e1zku vypozorovat, \u017ee celkov\u011b bych na tomto obchodu profitoval \u010d\u00e1stkou +104.65 USD<\/strong><\/span>. Tento v\u00fdnos +104.65 USD jsem z\u00edskal investic\u00ed 10.634,10 USD do dluhopis\u016f a zablokovan\u00e9ho marginu ve v\u00fd\u0161i 560 USD pro po\u0159\u00edzen\u00e9 Yield futures, tedy celkovou investic\u00ed -11.194,10 USD. Investici jsem dr\u017eel 57 kalend\u00e1\u0159n\u00edch dn\u016f. Potom mohu na tento dvoum\u011bs\u00ed\u010dn\u00ed obchod nahl\u00ed\u017eet jako na ((104.65 USD\/11.194,10 USD)*(365\/57) = 0,0598) investici<\/strong> s ro\u010dn\u00edm zhodnocen\u00edm ve v\u00fd\u0161i 5.98% p.a.<\/strong>\u00a0 \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 M\u016f\u017ee se zd\u00e1t, \u017ee takov\u00e9 zhodnocen\u00ed m\u00e1 dva nedostatky<\/strong>, v\u00fdkon takov\u00e9 investice je nezaj\u00edmav\u00fd a je omezen maxim\u00e1ln\u00ed mo\u017enou dobou \u017eivota Yield futures, kter\u00e9 je dva m\u011bs\u00edce. Prvn\u00ed nedostatek<\/strong>, nezaj\u00edmav\u00fd v\u00fdkon investice je zkreslen nyn\u011bj\u0161\u00ed situac\u00ed na trz\u00edch \u00farokov\u00fdch sazeb, kdy jsou tyto dosti vysok\u00e9<\/strong> a rovnaj\u00ed se nap\u0159\u00edklad maxim\u00e1ln\u00ed v\u00fd\u0161i kup\u00f3n\u016f vybran\u00fdch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f, kter\u00e9 mohu do sv\u00e9ho obchodov\u00e1n\u00ed zapojit. Nemus\u00edm se ale spol\u00e9hat na n\u00edzk\u00e9 kup\u00f3ny t\u011bchto bezrizikov\u00fdch dluhopis\u016f a mohu svou pozornost zam\u011b\u0159it na jin\u00e9 druhy dluhopis\u016f s vy\u0161\u0161\u00edm kup\u00f3nem, kde se mohu na korelaci ceny dluhopisu a aktu\u00e1ln\u00edch \u00farokov\u00fdch sazeb tak\u00e9 spolehnout, mus\u00edm si ale b\u00fdt v\u011bdom, \u017ee na cenu dluhopis\u016f s vy\u0161\u0161\u00ed m\u00edrou rizika p\u016fsob\u00ed tak\u00e9 jin\u00e9 vlivy, ne\u017e je pohyb na odpov\u00eddaj\u00edc\u00edch \u00farokov\u00fdch sazb\u00e1ch. Zm\u011bna ratingu emitenta, zhor\u0161en\u00e9 v\u00fdsledky hospoda\u0159en\u00ed a jin\u00e9 dal\u0161\u00ed v\u00fdznamn\u00e9 fundament\u00e1ln\u00ed zpr\u00e1vy mohou p\u016fsobit na zm\u011bnu ceny dluhopisu s v\u011bt\u0161\u00ed intenzitou, ne\u017e bude zm\u011bna \u00farokov\u00fdch sazeb a poskytnut\u00e9 zaji\u0161t\u011bn\u00ed ve form\u011b dluhopisov\u00fdch futures pak nebude tak \u00fa\u010dinn\u00e9, jak bych si p\u0159edstavoval. Stejn\u011b pak mohu p\u0159istoupit k zaji\u0161\u0165ov\u00e1n\u00ed pohybu na dluhopisov\u00fdch ETF (IEF, TLT…) a hledat mo\u017enosti, jak tyto burzovn\u011b obchodovan\u00e9 dluhopisov\u00e9 fondy efektivn\u011bji obchodovat s men\u0161\u00edm rizikem nep\u0159\u00edjemn\u00e9ho cenov\u00e9ho pohybu pr\u00e1v\u011b zapojen\u00edm Yield futures kontrakt\u016f. Druh\u00fd nedostatek<\/strong>, omezenou dobu do expirace Yield futures na dva m\u011bs\u00edce, mohu vy\u0159e\u0161it rolov\u00e1n\u00edm<\/strong> t\u011bchto Yield futures do dal\u0161\u00edch kontrakt\u016f s n\u00e1sleduj\u00edc\u00ed expirac\u00ed. Na obr\u00e1zku n\u00ed\u017ee je zobrazena aktu\u00e1ln\u00ed cena obou aktu\u00e1ln\u00edch Yield futures kontrakt\u016f pro desetilet\u00e9 a t\u0159icetilet\u00e9 v\u00fdnosy:<\/span><\/p>\n

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\u00a0\u00a0 10Y \u2013 desetilet\u00e9 Yield futures bych aktu\u00e1ln\u011b mohl rolovat se ztr\u00e1tou -0,01 bodu a 30Y – t\u0159icetilet\u00e9 Yield futures se aktu\u00e1ln\u011b dokonce nab\u00edz\u00ed za stejnou cenu. U 2YY – dvoulet\u00fdch Yield futures a 5YY – p\u011btilet\u00fdch Yield futures je ji\u017e rozd\u00edl m\u00edrn\u011b v\u011bt\u0161\u00ed a je zp\u016fsoben zejm\u00e9na skute\u010dnost\u00ed, \u017ee zm\u011bna \u00farokov\u00fdch sazeb americk\u00e9 centr\u00e1ln\u00ed banky nejv\u00edce zas\u00e1hne v\u00fdnosy dluhopis\u016f s ultrakr\u00e1tkou nebo kr\u00e1tkou dobou do splatnosti, kde\u017eto v\u00fdnosy dluhopis\u016f s del\u0161\u00ed dobou do splatnosti jsou utv\u00e1\u0159eny tak\u00e9 jin\u00fdmi makroekonomick\u00fdmi vlivy a n\u00e1hledy investor\u016f na jejich budouc\u00ed v\u00fdvoj. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0 \u00a0Pozn\u00e1n\u00ed existence Yield futures a jejich vyu\u017eit\u00ed m\u016f\u017ee nab\u00fdt praktick\u00fdch rozm\u011br\u016f tak\u00e9 pro drobn\u011bj\u0161\u00edho obchodn\u00edka. Jde o pom\u011brn\u011b mlad\u00fd investi\u010dn\u00ed n\u00e1stroj, p\u0159esto jsou objemy obchod\u016f na t\u011bchto term\u00ednovan\u00fdch kontraktech obrovsk\u00e9 a dokl\u00e1daj\u00ed tak svou opodstatn\u011bnost a praktickou vyu\u017eitelnost pro \u0161irokou investi\u010dn\u00ed ve\u0159ejnost, je jednodu\u0161e dobr\u00e9 m\u00edt o takov\u00e9m investi\u010dn\u00edm n\u00e1stroji z\u00e1kladn\u00ed pov\u011bdom\u00ed a b\u00fdt tak p\u0159ipraven jej pou\u017e\u00edt :c)<\/span><\/p>\n

\u00a0 \u00a0Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/a><\/strong><\/span><\/span>\u00a0<\/strong><\/span>:c)\u00a0\u00a0 \u00a0<\/span><\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 Pocit \u00fanavy ze slo\u017eitosti p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku s popisem derivac\u00ed cenov\u00e9 funkce kup\u00f3nov\u00e9ho dluhopisu a mo\u017en\u00e9 frustrace z nemo\u017enosti aplikovat zji\u0161t\u011bnou dolarovou hodnotu jednoho bazick\u00e9ho bodu na stotis\u00edcov\u00e9 dluhopisov\u00e9 portfolio s hed\u017eov\u00e1n\u00edm pomoc\u00ed stotis\u00edcov\u00e9ho dluhopisov\u00e9ho futures, proto\u017ee t\u011bchto sto tis\u00edc dolar\u016f prost\u011b nem\u00e1m, by mohly vykompenzovat n\u00e1sleduj\u00edc\u00ed \u0159\u00e1dky \u010dl\u00e1nku, kter\u00e9 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7058,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2},"jetpack_post_was_ever_published":false},"categories":[60],"tags":[61],"class_list":["post-7042","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-dluhopisy","tag-dluhopisy"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/main-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1PA","jetpack-related-posts":[{"id":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":7042,"position":0},"title":"Dluhopisy \u2013 XIV. \u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"7.12.2023","format":false,"excerpt":"\u00a0 \u00a0Pravd\u011bpodobn\u011b nejv\u00fdznamn\u011bj\u0161\u00edmi dluhopisov\u00fdmi deriv\u00e1ty jsou dluhopisov\u00e9 futures. Napodobit dr\u017een\u00ed dluhopis\u016f (v tomto \u010dl\u00e1nku americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f), ani\u017e bych se jich jen dotknul, mi pom\u016f\u017ee existence tzv. \u201eTreasury Futures\u201c kontrakt\u016f. Nebudu se nyn\u00ed nijak v\u00fdznamn\u011b zdr\u017eovat n\u011bjak\u00fdm kv\u011btnat\u00fdm \u00favodem \u010dl\u00e1nku a bez ot\u00e1len\u00ed se pono\u0159\u00edm p\u0159\u00edmo do pozoruhodn\u00e9ho t\u00e9matu, kter\u00fd\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":7042,"position":1},"title":"Dluhopisy \u2013 XXIV.","author":"dobretrejdy :c)","date":"27.11.2025","format":false,"excerpt":"\u00a0 \u00a0Neuv\u011b\u0159iteln\u00fdch osm m\u011bs\u00edc\u016f od naps\u00e1n\u00ed posledn\u00edho \u010dl\u00e1nku nic neubralo na v\u00fdznamu zji\u0161t\u011bn\u00ed, \u017ee \u201edluhopisov\u00e9 opce\u201c opravdu nejsou \u201eopce na dluhopisy\u201c, tedy jejich podkladov\u00fdm aktivem nen\u00ed jak\u00e1koliv konkr\u00e9tn\u00ed emise dluhopis\u016f, ale tyto dluhopisov\u00e9 opce jsou nav\u00e1z\u00e1ny na futures kontrakty, kter\u00e9 ale ji\u017e souvisej\u00ed s konkr\u00e9tn\u00edmi dluhopisov\u00fdmi emisemi nebo \u00farokov\u00fdmi sazbami.\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7175,"url":"https:\/\/dobretrejdy.com\/?p=7175","url_meta":{"origin":7042,"position":2},"title":"Dluhopisy \u2013 XIX.","author":"dobretrejdy :c)","date":"10.7.2024","format":false,"excerpt":"\u00a0\u00a0 Dluhopisov\u00e1 deriv\u00e1tov\u00e1 j\u00edzda pokra\u010duje :c). V prvn\u00edm \u010dl\u00e1nku o dluhopisov\u00fdch futures Dluhopisy \u2013 XIV. jsem popisoval existenci a vlastnosti \u201evelk\u00fdch\u201c Treasury futures, kter\u00e9 p\u0159edstavovaly term\u00ednov\u00e9 kontrakty, jejich\u017e podkladov\u00fdmi aktivy byly dluhopisy se splatnost\u00ed 2 a v\u00edce let podle jednotliv\u00e9 specifikace pro ka\u017ed\u00fd typ tohoto futures kontraktu. Tyto \u201evelk\u00e9\u201c Treasury\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7097,"url":"https:\/\/dobretrejdy.com\/?p=7097","url_meta":{"origin":7042,"position":3},"title":"Dluhopisy \u2013 XVIII.","author":"dobretrejdy :c)","date":"20.5.2024","format":false,"excerpt":"\u00a0\u00a0 Sv\u011bt dluhopisov\u00fdch deriv\u00e1t\u016f je v\u00edce ne\u017e flexibiln\u00ed. V minul\u00fdch \u010dl\u00e1nc\u00edch jsem popisoval existenci a z\u00e1kladn\u00ed mo\u017enosti nakl\u00e1d\u00e1n\u00ed s \u201evelk\u00fdm\u201c dluhopisov\u00fdm US Treasury futures kontraktem, jeho\u017e podkladov\u00fdm aktivem p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed je p\u0159\u00edslu\u0161n\u00fd americk\u00fd vl\u00e1dn\u00ed dluhopis s Face Value 100.000 USD vybran\u00fd z ko\u0161e odpov\u00eddaj\u00edc\u00edch emis\u00ed (Delivery Basket) upraven\u00fd o koeficient\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6010,"url":"https:\/\/dobretrejdy.com\/?p=6010","url_meta":{"origin":7042,"position":4},"title":"Dluhopisy \u2013 III.","author":"dobretrejdy :c)","date":"14.12.2022","format":false,"excerpt":"\u00a0\u00a0N\u00e1kupem dluhopisu p\u016fj\u010duji pen\u00edze. Nejjednodu\u0161\u0161\u00ed definice, kterou by si mohla zaslou\u017eit odpov\u011b\u010f na ot\u00e1zku, co to vlastn\u011b dluhopis je. Emitent dluhopisu \u2013 dlu\u017en\u00edk - vstupuje do pr\u00e1vn\u00edho svazku s v\u011b\u0159itelem (t\u0159eba se mnou), kter\u00fd je zalo\u017een na z\u00e1vazku dlu\u017en\u00edka platit v\u011b\u0159iteli periodick\u00fd \u00farok ve form\u011b kup\u00f3nu a splatit celou p\u016fvodn\u011b\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":6987,"url":"https:\/\/dobretrejdy.com\/?p=6987","url_meta":{"origin":7042,"position":5},"title":"Dluhopisy \u2013 XVI. \u00a0\u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"10.3.2024","format":false,"excerpt":"\u00a0 \u00a0V posledn\u00edm \u010dl\u00e1nku dluhopisov\u00e9 minis\u00e9rie Dluhopisy \u2013 XV. jsem popsal jednoduch\u00fd obchod s n\u00e1kupem dluhopisu a jeho zaji\u0161t\u011bn\u00ed pomoc\u00ed odpov\u00eddaj\u00edc\u00edho dluhopisov\u00e9ho futures. Zvolen\u00fd modelov\u00fd obchod nedoprov\u00e1zela \u017e\u00e1dn\u00e1 hlub\u0161\u00ed \u00favaha o vlastnostech zvolen\u00e9ho dluhopisu a byly tak patrn\u00e9 pouze z\u00e1kladn\u00ed vztahy mezi v\u00fdvojem \u00farokov\u00fdch sazeb, cenou dluhopis\u016f a hodnotou odpov\u00eddaj\u00edc\u00edho\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Gr1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Gr1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Gr1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Gr1.jpg?resize=700%2C400 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7042","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=7042"}],"version-history":[{"count":24,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7042\/revisions"}],"predecessor-version":[{"id":7330,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/7042\/revisions\/7330"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/7058"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7042"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7042"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7042"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}