查看评论 | 数据日期：2005-10-17 |
| 交易代码 | 债券名称 | 开盘全价 | 收盘全价 | 涨跌值 | 收盘净价 | 应计利息 | 到期收益率 | 修正久期 | 凸性 | 剩余年限 |
| 100303 | 国债0303 | 98.850 | 99.080 | 0.180 | 99.089315 | 0.009315 | 3.5003 % | 12.857134 | 208.452443 | 17.499 |
| 010504 | 05国债(4) | 108.730 | 109.110 | 0.060 | 110.866603 | 1.756603 | 3.4940 % | 13.241266 | 231.987409 | 19.575 |
| 010303 | 03国债(3) | 98.950 | 99.210 | 0.170 | 99.219315 | 0.009315 | 3.4901 % | 12.861533 | 208.560189 | 17.499 |
| 101917 | 国债917 | 109.160 | 109.650 | 0.000 | 110.572027 | 0.922027 | 3.4898 % | 11.374037 | 166.366958 | 15.786 |
| 010107 | 21国债(7) | 109.900 | 110.030 | 0.130 | 110.952027 | 0.922027 | 3.4596 % | 11.385190 | 166.613887 | 15.786 |
| 100213 | 国债0213 | 92.450 | 92.780 | 0.330 | 92.979452 | 0.199452 | 3.3660 % | 9.900183 | 117.711785 | 11.926 |
| 010213 | 02国债(13) | 92.890 | 92.910 | 0.020 | 93.109452 | 0.199452 | 3.3519 % | 9.902963 | 117.765536 | 11.926 |
| 100308 | 国债0308 | 99.500 | 99.560 | -0.270 | 99.816493 | 0.256493 | 3.0818 % | 6.927890 | 57.868046 | 7.918 |
| 010308 | 03国债(8) | 99.800 | 100.010 | 0.190 | 100.266493 | 0.256493 | 3.0169 % | 6.934299 | 57.962955 | 7.918 |
| 010501 | 05国债(1) | 111.890 | 111.950 | 0.000 | 112.570384 | 0.620384 | 2.9876 % | 7.601653 | 72.078894 | 9.367 |
| 100203 | 国债0203 | 97.550 | 97.570 | 0.180 | 98.843480 | 1.273480 | 2.9535 % | 5.822296 | 41.415544 | 6.501 |
| 010203 | 02国债(3) | 97.820 | 97.860 | 0.010 | 99.133480 | 1.273480 | 2.9032 % | 5.826078 | 41.464274 | 6.501 |
| 101912 | 国债912 | 100.620 | 100.860 | 0.090 | 103.809726 | 2.949726 | 2.8909 % | 5.294263 | 35.290635 | 6.036 |
| 010110 | 21国债(10) | 100.750 | 100.800 | 0.020 | 100.985890 | 0.185890 | 2.8000 % | 5.377396 | 35.432110 | 5.940 |
| 010112 | 21国债(12) | 101.300 | 101.380 | -0.010 | 104.329726 | 2.949726 | 2.7966 % | 5.301116 | 35.371158 | 6.036 |
| 100505 | 国债0505 | 103.500 | 103.450 | 0.120 | 104.798000 | 1.348000 | 2.7873 % | 5.805928 | 41.616313 | 6.603 |
| 101998 | 国债998 | 102.600 | 102.600 | -0.080 | 102.826027 | 0.226027 | 2.5932 % | 3.654617 | 17.298287 | 3.934 |
| 100215 | 国债0215 | 101.300 | 101.300 | 0.370 | 103.836658 | 2.536658 | 2.5914 % | 3.765242 | 18.563870 | 4.137 |
| 010505 | 05国债(5) | 104.660 | 104.780 | 0.280 | 106.128000 | 1.348000 | 2.5704 % | 5.823101 | 41.836590 | 6.603 |
| 100407 | 国债0407 | 112.310 | 111.610 | 0.350 | 112.306822 | 0.696822 | 2.5466 % | 5.128499 | 33.064215 | 5.855 |
| 100404 | 国债0404 | 112.100 | 112.100 | -0.190 | 114.056000 | 1.956000 | 2.5403 % | 4.866208 | 30.228273 | 5.603 |
| 100210 | 国债0210 | 98.750 | 99.460 | -0.030 | 99.872521 | 0.412521 | 2.5367 % | 3.600479 | 16.765457 | 3.830 |
| 100301 | 国债0301 | 100.640 | 100.600 | 0.350 | 102.356329 | 1.756329 | 2.5088 % | 3.990891 | 20.484019 | 4.342 |
| 010509 | 05国债(9) | 102.100 | 102.110 | -0.090 | 102.528685 | 0.418685 | 2.4894 % | 6.156377 | 45.901919 | 6.855 |
| 010410 | 04国债(10) | 113.080 | 113.260 | 0.240 | 117.614027 | 4.354027 | 2.4892 % | 5.147438 | 34.332807 | 6.107 |
| 100115 | 国债0115 | 101.600 | 101.600 | -0.440 | 104.098630 | 2.498630 | 2.4646 % | 2.928238 | 11.783803 | 3.170 |
| 009908 | 99国债(8) | 103.090 | 103.220 | 0.060 | 103.446027 | 0.226027 | 2.4288 % | 3.661105 | 17.357663 | 3.934 |
| 010210 | 02国债(10) | 99.760 | 99.920 | 0.090 | 100.332521 | 0.412521 | 2.4092 % | 3.605334 | 16.809440 | 3.830 |
| 010407 | 04国债(7) | 112.600 | 112.600 | 0.040 | 113.296822 | 0.696822 | 2.3757 % | 5.140074 | 33.199767 | 5.855 |
| 100503 | 国债0503 | 104.000 | 104.000 | -0.010 | 105.582192 | 1.582192 | 2.3531 % | 4.124482 | 21.824867 | 4.523 |
| 010404 | 04国债(4) | 113.000 | 113.260 | 0.170 | 115.216000 | 1.956000 | 2.3327 % | 4.879826 | 30.380369 | 5.603 |
| 010503 | 05国债(3) | 104.130 | 104.230 | 0.180 | 105.812192 | 1.582192 | 2.3003 % | 4.127022 | 21.850069 | 4.523 |
| 010307 | 03国债(7) | 101.600 | 101.750 | 0.150 | 102.179973 | 0.429973 | 2.2717 % | 4.489272 | 25.205363 | 4.841 |
| 100408 | 国债0408 | 107.730 | 107.700 | -0.030 | 111.976438 | 4.276438 | 2.2655 % | 3.552216 | 17.042126 | 4.008 |
| 010311 | 03国债(11) | 105.480 | 105.870 | 0.470 | 109.063151 | 3.193151 | 2.2635 % | 4.521611 | 26.309302 | 5.090 |
| 010301 | 03国债(1) | 101.440 | 101.640 | 0.040 | 103.396329 | 1.756329 | 2.2559 % | 4.002441 | 20.595837 | 4.342 |
| 010215 | 02国债(15) | 102.600 | 102.650 | 0.050 | 105.186658 | 2.536658 | 2.2490 % | 3.780305 | 18.702546 | 4.137 |
| 010004 | 20国债(4) | 101.680 | 101.660 | -0.020 | 102.714247 | 1.054247 | 2.2130 % | 0.584329 | 0.913118 | 4.597 |
| 100403 | 国债0403 | 106.810 | 107.350 | -0.030 | 109.541836 | 2.191836 | 2.2115 % | 3.200086 | 13.847903 | 3.507 |
| 010115 | 21国债(15) | 102.300 | 102.420 | 0.060 | 104.918630 | 2.498630 | 2.1971 % | 2.936845 | 11.849952 | 3.170 |
| 101903 | 国债903 | 102.690 | 102.680 | -0.290 | 104.265726 | 1.585726 | 2.1577 % | 2.374184 | 8.100584 | 2.518 |
| 010103 | 21国债(3) | 102.860 | 102.950 | 0.030 | 104.535726 | 1.585726 | 2.0488 % | 2.376869 | 8.118508 | 2.518 |
| 010403 | 04国债(3) | 107.850 | 107.960 | 0.040 | 110.151836 | 2.191836 | 2.0381 % | 3.206349 | 13.899380 | 3.507 |
| 100214 | 国债0214 | 101.240 | 101.250 | 0.010 | 103.856438 | 2.606438 | 2.0082 % | 1.904908 | 5.612606 | 2.019 |
| 010408 | 04国债(8) | 108.650 | 108.760 | 0.110 | 113.036438 | 4.276438 | 2.0007 % | 3.563955 | 17.144603 | 4.008 |
| 010214 | 02国债(14) | 101.230 | 101.270 | 0.000 | 103.876438 | 2.606438 | 1.9980 % | 1.905109 | 5.613756 | 2.019 |
| 010508 | 05国债(8) | 99.880 | 99.920 | -0.020 | 100.258411 | 0.338411 | 1.9564 % | 2.717757 | 10.139513 | 2.827 |
| 101995 | 国债995 | 102.340 | 102.400 | 0.000 | 102.930192 | 0.530192 | 1.9332 % | 1.775417 | 4.923083 | 1.841 |
| 010010 | 20国债(10) | 101.060 | 101.130 | 0.010 | 103.315425 | 2.185425 | 1.7968 % | 0.075358 | 0.079707 | 2.077 |
| 009905 | 99国债(5) | 102.800 | 103.030 | -0.020 | 103.560192 | 0.530192 | 1.5901 % | 1.781514 | 4.956758 | 1.841 |
| 010507 | 05国债(7) | 100.000 | 100.010 | -0.020 | 100.421233 | 0.411233 | 1.5702 % | 1.700216 | 4.579506 | 1.742 |
| 100405 | 国债0405 | 99.110 | 98.980 | -0.140 | 98.980000 | 0.000000 | 1.5649 % | 0.650101 | 1.062715 | 0.660 |
| 100502 | 国债0502 | 99.100 | 99.400 | 0.000 | 99.400000 | 0.000000 | 1.4852 % | 0.402245 | 0.558160 | 0.408 |
| 010502 | 05国债(2) | 99.450 | 99.460 | 0.010 | 99.460000 | 0.000000 | 1.3352 % | 0.402840 | 0.559813 | 0.408 |
| 010506 | 05国债(6) | 99.090 | 99.130 | 0.040 | 99.130000 | 0.000000 | 1.3322 % | 0.651594 | 1.067601 | 0.660 |
| 100411 | 国债0411 | 102.370 | 101.880 | -0.070 | 104.386466 | 2.506466 | 1.3289 % | 1.118296 | 2.381170 | 1.162 |
| 010405 | 04国债(5) | 99.150 | 99.150 | -0.020 | 99.150000 | 0.000000 | 1.3012 % | 0.651793 | 1.068254 | 0.660 |
| 010411 | 04国债(11) | 101.860 | 102.030 | 0.080 | 104.536466 | 2.506466 | 1.2006 % | 1.119749 | 2.387292 | 1.162 |
| 010510 | 05国债(10) | 99.100 | 99.080 | -0.010 | 99.080000 | 0.000000 | 1.0182 % | 0.903133 | 1.709679 | 0.912 |
| 101966 | 国债966 | 107.130 | 107.200 | -0.060 | 111.283781 | 4.083781 | 0.7474 % | 0.652656 | 1.073774 | 0.658 |
| 009704 | 97国债(4) | 117.200 | 117.200 | 0.050 | 118.352164 | 1.152164 | 0.5648 % | 1.792584 | 5.070490 | 1.885 |
| 000696 | 96国债(6) | 107.260 | 107.790 | 0.470 | 111.873781 | 4.083781 | -0.0595 % | 0.657926 | 1.091184 | 0.658 |
| 101973 | 国债973 | 118.000 | 135.500 | 17.510 | 136.652164 | 1.152164 | -7.1322 % | 1.947413 | 5.971218 | 1.885 |
修正久期度量了收益率与债券价格的近似线性关系,即到期收益率变化时债券价格的稳定性。在同等要素条件下,修正久期小的债券较修正久期大的债券抗利率上升风险能力强,但抗利率下降风险能力较弱。 凸性是对债券价格曲线弯曲程度的一种度量。凸性越大,债券价格曲线弯曲程度越大,用修正久期度量债券的利率风险所产生的误差越大。严格地定义,凸性是指在某一到期收益率下,到期收益率发生变动而引起的价格变动幅度的变动程度。 |
