Abstract: By the purpose of solving the problem on government bond credit risk, including lack of corporate bonds varieties and improper policy regularity, a research is conducted in this paper on the devising, pricing theories, methods and application of commodity-linked bonds in China. Conclusions obtained are as follows. Firstly the incomplete market commodity-linked bond valuation equation should be deduced with the stochastic convenience yield; Then, the intrinsic relationship among multi-variables and the processing of the multi-dimensional data-space should be proposed so as to indicate the valuation trajectories; Furthermore, the value expression of commodity-linked bonds under price control should be deduced so as to simulate the real-world devising and pricing of commodity-linked bonds. As an example, the paper designs a general crude oil linked bond which related to the Daqing crude oil in China is designed in this paper. By the method mentioned above, the value sensitivity is analyzed with the variables, and the value changing track is described. Key technical problems such as the sample design, valuation, information integration and simulation platform of commodity-linked bonds in China are addressed in this paper.

Key words: commodity-linked bonds, financing, pricing