用久期近似计算的价格变动率凸性
用久期和凸度近似计算的价格变动率11206135%11超日债30%8.9800%25%8.0459%20%2012-3-7率15%2012-10-9动变10%2017-3-7格5%103.2714831价价0%108.5856742全-5%3.6644203-10%3.3915404-15%16.1271795
-20%-25%-7.00%-6.00%-5.00%0.010.020.03139.31
134.24
129.42
28%24%19%3.733.683.630.260.220.1819.1218.6518.200.310.250.20
到期收益率变动与久期、凸性、价格变动表5%0%5%0%5%0%5%0%5%-7%-6%-5%-4%-3%-2%-1%0%1%2%3%4%5%6%7%0%5%0%5%到期收益率变动全价变动率久期推导价格变动凸性和久期共同推导的价格变动-4.00%0.04124.83
15%3.580.1417.760.16-3.00%0.05120.47
11%3.530.1117.330.11-2.00%0.06116.32
7%3.490.0716.920.07-1.00%0.07112.36
3%3.440.0316.520.040.00%0.08108.59
0%3.39(0.00)16.13(0.00)1.00%0.09104.99
-3%3.35(0.03)15.75(0.03)2.00%0.10101.56
-6%3.30(0.07)15.38(0.06)
3.00%0.1198.28
-9%3.26(0.10)15.02(0.09)4.00%0.1295.15-12%3.21(0.13)14.67(0.12)5.00%0.1392.17-15%3.17(0.16)14.33(0.14)6.00%0.1489.31-18%3.13(0.19)14.00(0.16)7.00%0.1586.58-20%3.08(0.22)13.67(0.18)
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