查看评论 | 数据日期：2005-12-12 |
| 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 |
| 010303 | 03国债(3) | 96.780 | 96.750 | -0.010 | 97.253014 | 0.503014 | 3.6872 % | 12.636331 | 202.784914 | 17.353 |
| 100303 | 国债0303 | 96.810 | 96.990 | 0.190 | 97.493014 | 0.503014 | 3.6677 % | 12.644736 | 202.987462 | 17.353 |
| 010504 | 05国债(4) | 107.040 | 106.820 | -0.220 | 107.101507 | 0.281507 | 3.6509 % | 13.263704 | 230.247282 | 19.430 |
| 010107 | 21国债(7) | 107.700 | 107.610 | -0.100 | 109.150603 | 1.540603 | 3.6497 % | 11.174743 | 161.773300 | 15.641 |
| 010512 | 05国债(12) | 100.880 | 100.900 | 0.020 | 101.150000 | 0.250000 | 3.6028 % | 11.228335 | 158.273980 | 14.934 |
| 100213 | 国债0213 | 91.090 | 90.930 | -0.140 | 91.506986 | 0.576986 | 3.5793 % | 9.717964 | 114.021142 | 11.781 |
| 010213 | 02国债(13) | 91.050 | 91.020 | -0.030 | 91.596986 | 0.576986 | 3.5692 % | 9.719944 | 114.058690 | 11.781 |
| 010308 | 03国债(8) | 98.050 | 98.110 | 0.050 | 98.805014 | 0.695014 | 3.2971 % | 6.766082 | 55.496139 | 7.773 |
| 100203 | 国债0203 | 95.900 | 95.940 | 0.080 | 97.582301 | 1.642301 | 3.2545 % | 5.659084 | 39.377637 | 6.356 |
| 010203 | 02国债(3) | 95.900 | 95.950 | -0.070 | 97.592301 | 1.642301 | 3.2527 % | 5.659217 | 39.379306 | 6.356 |
| 010501 | 05国债(1) | 110.000 | 109.960 | -0.340 | 111.225096 | 1.265096 | 3.2065 % | 7.429686 | 69.343637 | 9.222 |
| 101912 | 国债912 | 99.370 | 99.380 | 0.010 | 99.722603 | 0.342603 | 3.1646 % | 5.294478 | 34.486281 | 5.890 |
| 010110 | 21国债(10) | 98.900 | 98.900 | -0.050 | 99.514247 | 0.614247 | 3.1577 % | 5.213389 | 33.524045 | 5.795 |
| 010112 | 21国债(12) | 99.600 | 99.650 | -0.030 | 99.992603 | 0.342603 | 3.1135 % | 5.297775 | 34.526073 | 5.890 |
| 100210 | 国债0210 | 98.010 | 98.010 | -0.580 | 98.769562 | 0.759562 | 2.9639 % | 3.443276 | 15.491293 | 3.685 |
| 010509 | 05国债(9) | 99.380 | 99.290 | 0.090 | 100.119616 | 0.829616 | 2.9455 % | 5.978943 | 43.566243 | 6.710 |
| 010513 | 05国债(13) | 100.320 | 100.410 | 0.010 | 100.533699 | 0.123699 | 2.9424 % | 6.196184 | 46.510442 | 6.962 |
| 100410 | 国债0410 | 110.480 | 110.480 | 0.360 | 110.679726 | 0.199726 | 2.9165 % | 5.193188 | 33.817504 | 5.962 |
| 101998 | 国债998 | 101.600 | 101.590 | 0.380 | 102.295206 | 0.705206 | 2.8467 % | 3.503461 | 16.060766 | 3.789 |
| 010505 | 05国债(5) | 102.800 | 103.080 | 0.380 | 104.917343 | 1.837343 | 2.8377 % | 5.660745 | 39.809490 | 6.458 |
| 010210 | 02国债(10) | 98.400 | 98.460 | 0.030 | 99.219562 | 0.759562 | 2.8320 % | 3.448077 | 15.533223 | 3.685 |
| 009908 | 99国债(8) | 101.700 | 101.730 | 0.020 | 102.435206 | 0.705206 | 2.8076 % | 3.504939 | 16.073825 | 3.789 |
| 010410 | 04国债(10) | 111.450 | 111.350 | 0.100 | 111.549726 | 0.199726 | 2.7658 % | 5.203514 | 33.939745 | 5.962 |
| 100311 | 国债0311 | 103.450 | 103.430 | -0.010 | 103.631370 | 0.201370 | 2.7461 % | 4.501084 | 25.462220 | 4.945 |
| 100215 | 国债0215 | 100.800 | 100.800 | -0.300 | 100.832110 | 0.032110 | 2.7136 % | 3.723919 | 17.837998 | 3.992 |
| 010407 | 04国债(7) | 110.080 | 110.500 | 0.300 | 111.880740 | 1.380740 | 2.6962 % | 4.977000 | 31.381014 | 5.710 |
| 010511 | 05国债(11) | 97.480 | 97.650 | 0.110 | 97.949014 | 0.299014 | 2.6595 % | 4.534298 | 25.533174 | 4.863 |
| 010115 | 21国债(15) | 100.900 | 100.990 | 0.050 | 103.924247 | 2.934247 | 2.6519 % | 2.780785 | 10.793301 | 3.025 |
| 010311 | 03国债(11) | 103.900 | 103.960 | -0.040 | 104.161370 | 0.201370 | 2.6329 % | 4.506982 | 25.525250 | 4.945 |
| 010404 | 04国债(4) | 111.170 | 111.330 | 0.170 | 113.996055 | 2.666055 | 2.6286 % | 4.718945 | 28.670664 | 5.458 |
| 100115 | 国债0115 | 101.090 | 101.090 | 0.360 | 104.024247 | 2.934247 | 2.6173 % | 2.781844 | 10.801104 | 3.025 |
| 010307 | 03国债(7) | 100.570 | 100.200 | 0.000 | 101.016219 | 0.816219 | 2.6109 % | 4.330677 | 23.639420 | 4.696 |
| 100408 | 国债0408 | 106.160 | 106.160 | 0.000 | 106.760822 | 0.600822 | 2.5984 % | 3.538661 | 16.438139 | 3.863 |
| 101904 | 国债904 | 99.600 | 100.000 | 0.400 | 101.431781 | 1.431781 | 2.5963 % | 0.440615 | 0.623607 | 4.452 |
| 010503 | 05国债(3) | 102.800 | 102.880 | 0.080 | 104.941370 | 2.061370 | 2.5910 % | 3.971511 | 20.429380 | 4.378 |
| 010004 | 20国债(4) | 100.200 | 100.200 | 0.000 | 101.631781 | 1.431781 | 2.5483 % | 0.440822 | 0.624191 | 4.452 |
| 010301 | 03国债(1) | 100.210 | 100.450 | -0.150 | 102.592575 | 2.142575 | 2.5424 % | 3.847755 | 19.221361 | 4.197 |
| 100403 | 国债0403 | 105.980 | 105.980 | -0.120 | 108.813644 | 2.833644 | 2.5340 % | 3.046867 | 12.731670 | 3.362 |
| 010215 | 02国债(15) | 101.490 | 101.600 | 0.100 | 101.632110 | 0.032110 | 2.5016 % | 3.732351 | 17.916409 | 3.992 |
| 010103 | 21国债(3) | 101.750 | 101.790 | 0.090 | 103.850548 | 2.060548 | 2.4758 % | 2.224672 | 7.259721 | 2.373 |
| 010408 | 04国债(8) | 106.410 | 106.730 | 0.380 | 107.330822 | 0.600822 | 2.4480 % | 3.544557 | 16.490619 | 3.863 |
| 100214 | 国债0214 | 100.350 | 100.360 | 0.010 | 100.701233 | 0.341233 | 2.4452 % | 1.804094 | 5.039706 | 1.874 |
| 010214 | 02国债(14) | 100.410 | 100.410 | -0.020 | 100.751233 | 0.341233 | 2.4177 % | 1.804585 | 5.042438 | 1.874 |
| 010403 | 04国债(3) | 106.310 | 106.430 | 0.120 | 109.263644 | 2.833644 | 2.3987 % | 3.051540 | 12.768574 | 3.362 |
| 010010 | 20国债(10) | 100.360 | 100.350 | -0.010 | 100.518110 | 0.168110 | 2.1687 % | 0.911734 | 1.723640 | 1.932 |
| 010508 | 05国债(8) | 99.060 | 99.400 | 0.400 | 100.018658 | 0.618658 | 2.1589 % | 2.570058 | 9.208594 | 2.682 |
| 101995 | 国债995 | 101.910 | 101.910 | 0.470 | 102.916466 | 1.006466 | 2.1118 % | 1.630057 | 4.282610 | 1.696 |
| 009905 | 99国债(5) | 101.870 | 101.970 | 0.090 | 102.976466 | 1.006466 | 2.0760 % | 1.630638 | 4.285645 | 1.696 |
| 100405 | 国债0405 | 99.080 | 99.080 | -0.010 | 99.080000 | 0.000000 | 1.8106 % | 0.505908 | 0.752854 | 0.515 |
| 010502 | 05国债(2) | 99.540 | 99.530 | 0.000 | 99.530000 | 0.000000 | 1.8073 % | 0.258345 | 0.320500 | 0.263 |
| 010506 | 05国债(6) | 99.080 | 99.100 | 0.050 | 99.100000 | 0.000000 | 1.7708 % | 0.506107 | 0.753445 | 0.515 |
| 010411 | 04国债(11) | 101.140 | 101.270 | 0.030 | 104.209178 | 2.939178 | 1.7005 % | 0.971332 | 1.925427 | 1.016 |
| 010405 | 04国债(5) | 99.160 | 99.220 | -0.010 | 99.220000 | 0.000000 | 1.5319 % | 0.507297 | 0.756993 | 0.515 |
| 010510 | 05国债(10) | 98.810 | 98.870 | 0.030 | 98.870000 | 0.000000 | 1.4925 % | 0.755843 | 1.316026 | 0.767 |
| 009704 | 97国债(4) | 114.580 | 114.510 | -0.190 | 117.082274 | 2.572274 | 1.2715 % | 1.636168 | 4.366685 | 1.740 |
| 000696 | 96国债(6) | 106.470 | 106.450 | -0.030 | 112.251562 | 5.801562 | -0.7317 % | 0.516105 | 0.786274 | 0.512 |
| 101966 | 国债966 | 106.650 | 106.740 | 0.090 | 112.541562 | 5.801562 | -1.2304 % | 0.518711 | 0.794234 | 0.512 |
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。 |
