摘要
通过分析比较债券的麦考利久期和修正久期在概念和计算方法上的差异,指出修正久期才是债券和债券组合风险管理的核心工具,当利率变化幅度较大的情况下,债券的凸性应该被纳入以改善修正久期的业绩。由于附息债券或债券组合均可被分解为一系列零息债券的组合,根据"组合收益率是组合中各成份证券收益率的加权平均"的基本原理,给出了一种基于零息债券修正久期和凸性的附息债券以及债券组合修正久期和凸性的计算方法,并通过实例阐述了债券修正久期和凸性的计算及应用。
By analyzing and comparing the difference on concept and calculation between macaulay duration and modified duration of bond, this paper points out that it is modified duration that plays an important role in bond or bond portfolio risk management, for large yield changes convexity should be added to improve the performance of the modified duration. Because coupon bond or bond portfolio can be decomposed into a series of zero-coupon bond, we propose a methodology to calculate the modified duration and convexity of coupon bond or bond portfolio based on the principle of that portfolio return is the weighted average return of various components in that portfolio. An example is also involved for illustration of calculating process of modified duration and convexity and their application.
出处
《电子科技大学学报（社科版）》
2014年第2期34-38,共5页
Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
基金
国家自然科学基金青年项目(71101019))
教育部博士点基金项目(20100175110017)
中央高校基本科研业务费(ZYGX2009J117)
关键词
修正久期
凸性
零息债券
债券组合
modified duration
convexity
zero-coupon bond
bond portfolio
