查看评论 | 数据日期：2006-01-03 |
| 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) | 98.780 | 98.660 | -0.110 | 99.358630 | 0.698630 | 3.5339 % | 12.646784 | 202.916235 | 17.296 |
| 100303 | 国债0303 | 98.660 | 98.710 | 0.030 | 99.408630 | 0.698630 | 3.5300 % | 12.648493 | 202.957378 | 17.296 |
| 010504 | 05国债(4) | 108.500 | 108.630 | 0.030 | 109.147973 | 0.517973 | 3.5236 % | 13.277275 | 230.505187 | 19.373 |
| 010107 | 21国债(7) | 109.450 | 109.510 | -0.020 | 111.295699 | 1.785699 | 3.4937 % | 11.176714 | 161.728779 | 15.584 |
| 010512 | 05国债(12) | 102.450 | 102.550 | 0.250 | 103.010000 | 0.460000 | 3.4583 % | 11.219243 | 157.978728 | 14.877 |
| 101973 | 国债973 | 110.100 | 110.100 | -3.450 | 113.234959 | 3.134959 | 3.4574 % | 1.544406 | 3.950173 | 1.682 |
| 100213 | 国债0213 | 92.480 | 92.550 | 0.060 | 93.276575 | 0.726575 | 3.4023 % | 9.696963 | 113.542954 | 11.723 |
| 010213 | 02国债(13) | 92.770 | 92.770 | 0.010 | 93.496575 | 0.726575 | 3.3780 % | 9.701702 | 113.632569 | 11.723 |
| 100501 | 国债0501 | 110.000 | 110.470 | 0.070 | 111.990548 | 1.520548 | 3.1382 % | 7.383569 | 68.610616 | 9.164 |
| 010501 | 05国债(1) | 110.600 | 110.640 | 0.030 | 112.160548 | 1.520548 | 3.1176 % | 7.386464 | 68.654614 | 9.164 |
| 100308 | 国债0308 | 99.350 | 99.350 | 0.200 | 100.218767 | 0.868767 | 3.1135 % | 6.728145 | 54.946687 | 7.715 |
| 010308 | 03国债(8) | 99.500 | 99.380 | -0.120 | 100.248767 | 0.868767 | 3.1090 % | 6.728576 | 54.952880 | 7.715 |
| 100203 | 国债0203 | 96.880 | 96.980 | 0.080 | 98.768438 | 1.788438 | 3.0720 % | 5.616699 | 38.861900 | 6.299 |
| 010203 | 02国债(3) | 97.140 | 97.130 | -0.010 | 98.918438 | 1.788438 | 3.0450 % | 5.618675 | 38.886504 | 6.299 |
| 010112 | 21国债(12) | 100.570 | 100.050 | -0.520 | 100.568082 | 0.518082 | 3.0377 % | 5.246835 | 33.941993 | 5.833 |
| 101912 | 国债912 | 100.290 | 100.200 | -0.060 | 100.718082 | 0.518082 | 3.0093 % | 5.248657 | 33.963804 | 5.833 |
| 010110 | 21国债(10) | 100.150 | 99.690 | -0.460 | 100.473973 | 0.783973 | 3.0065 % | 5.167142 | 33.003963 | 5.737 |
| 100505 | 国债0505 | 102.690 | 102.690 | 0.040 | 104.721233 | 2.031233 | 2.8998 % | 5.600009 | 39.065530 | 6.400 |
| 010509 | 05国债(9) | 100.190 | 100.100 | -0.090 | 101.092438 | 0.992438 | 2.8105 % | 5.933540 | 42.983966 | 6.652 |
| 100410 | 国债0410 | 111.100 | 111.010 | -0.090 | 111.489343 | 0.479343 | 2.8069 % | 5.144736 | 33.272998 | 5.904 |
| 010513 | 05国债(13) | 101.450 | 101.330 | 0.230 | 101.626877 | 0.296877 | 2.7936 % | 6.152305 | 45.929170 | 6.904 |
| 010505 | 05国债(5) | 103.500 | 103.700 | 0.120 | 105.731233 | 2.031233 | 2.7286 % | 5.613214 | 39.229127 | 6.400 |
| 009908 | 99国债(8) | 102.340 | 102.060 | -0.290 | 102.955069 | 0.895069 | 2.7071 % | 3.452734 | 15.663021 | 3.732 |
| 100210 | 国债0210 | 98.820 | 98.990 | 0.150 | 99.887069 | 0.897069 | 2.6818 % | 3.397526 | 15.142705 | 3.627 |
| 010410 | 04国债(10) | 111.800 | 111.850 | 0.040 | 112.329343 | 0.479343 | 2.6611 % | 5.154665 | 33.389551 | 5.904 |
| 101998 | 国债998 | 102.160 | 102.250 | 0.130 | 103.145069 | 0.895069 | 2.6537 % | 3.454732 | 15.680475 | 3.732 |
| 100301 | 国债0301 | 99.910 | 100.050 | -0.240 | 102.345616 | 2.295616 | 2.6441 % | 3.787215 | 18.697014 | 4.140 |
| 010407 | 04国债(7) | 110.800 | 110.800 | -0.030 | 112.451726 | 1.651726 | 2.6239 % | 4.925719 | 30.825393 | 5.652 |
| 010210 | 02国债(10) | 99.150 | 99.190 | 0.080 | 100.087069 | 0.897069 | 2.6230 % | 3.399645 | 15.161023 | 3.627 |
| 010311 | 03国债(11) | 104.300 | 104.340 | -0.110 | 104.742740 | 0.402740 | 2.5415 % | 4.455642 | 25.018407 | 4.888 |
| 010503 | 05国债(3) | 103.150 | 103.050 | -0.150 | 105.301233 | 2.251233 | 2.5412 % | 3.917724 | 19.954169 | 4.321 |
| 010404 | 04国债(4) | 111.660 | 111.730 | 0.050 | 114.677397 | 2.947397 | 2.5329 % | 4.668964 | 28.155362 | 5.400 |
| 010511 | 05国债(11) | 98.170 | 98.300 | 0.130 | 98.722137 | 0.422137 | 2.5178 % | 4.485234 | 25.048151 | 4.805 |
| 100115 | 国债0115 | 101.330 | 101.370 | 0.080 | 101.476849 | 0.106849 | 2.5118 % | 2.810646 | 10.771148 | 2.967 |
| 010307 | 03国债(7) | 100.780 | 100.760 | -0.120 | 101.729260 | 0.969260 | 2.4811 % | 4.280881 | 23.166619 | 4.638 |
| 101904 | 国债904 | 100.500 | 100.500 | 0.010 | 102.081370 | 1.581370 | 2.4749 % | 0.384992 | 0.523913 | 4.395 |
| 010301 | 03国债(1) | 100.850 | 100.850 | 0.000 | 103.145616 | 2.295616 | 2.4388 % | 3.796171 | 18.779908 | 4.140 |
| 010004 | 20国债(4) | 100.840 | 100.800 | 0.020 | 102.381370 | 1.581370 | 2.4025 % | 0.385265 | 0.524655 | 4.395 |
| 010115 | 21国债(15) | 101.650 | 101.720 | -0.020 | 101.826849 | 0.106849 | 2.3893 % | 2.814166 | 10.797716 | 2.967 |
| 010215 | 02国债(15) | 101.970 | 102.000 | 0.050 | 102.200685 | 0.200685 | 2.3886 % | 3.680669 | 17.486727 | 3.934 |
| 010408 | 04国债(8) | 106.900 | 106.960 | -0.060 | 107.808219 | 0.848219 | 2.3607 % | 3.491780 | 16.070597 | 3.805 |
| 010508 | 05国债(8) | 99.120 | 99.100 | 0.000 | 99.829699 | 0.729699 | 2.2831 % | 2.510579 | 8.845162 | 2.625 |
| 100403 | 国债0403 | 106.700 | 106.710 | 0.210 | 109.797945 | 3.087945 | 2.2814 % | 2.999346 | 12.405069 | 3.304 |
| 010103 | 21国债(3) | 102.180 | 102.260 | 0.080 | 104.508685 | 2.248685 | 2.2497 % | 2.173640 | 6.990278 | 2.315 |
| 100214 | 国债0214 | 100.700 | 100.700 | -0.100 | 101.193699 | 0.493699 | 2.2458 % | 1.751389 | 4.804251 | 1.816 |
| 010403 | 04国债(3) | 106.920 | 106.890 | 0.020 | 109.977945 | 3.087945 | 2.2268 % | 3.001208 | 12.419597 | 3.304 |
| 010214 | 02国债(14) | 100.800 | 100.840 | 0.060 | 101.333699 | 0.493699 | 2.1669 % | 1.752761 | 4.811743 | 1.816 |
| 101995 | 国债995 | 101.900 | 101.890 | 0.240 | 103.085178 | 1.195178 | 2.0841 % | 1.574147 | 4.049137 | 1.638 |
| 010010 | 20国债(10) | 100.540 | 100.640 | 0.090 | 100.943890 | 0.303890 | 2.0037 % | 0.856805 | 1.574090 | 1.874 |
| 009905 | 99国债(5) | 102.000 | 102.030 | 0.070 | 103.225178 | 1.195178 | 1.9979 % | 1.575503 | 4.056063 | 1.638 |
| 100502 | 国债0502 | 99.600 | 99.600 | 0.010 | 99.600000 | 0.000000 | 1.9697 % | 0.201510 | 0.238224 | 0.205 |
| 010514 | 05国债(14) | 99.850 | 99.750 | -0.020 | 99.826712 | 0.076712 | 1.8783 % | 1.905885 | 5.519449 | 1.959 |
| 009704 | 97国债(4) | 112.900 | 113.000 | -0.180 | 116.134959 | 3.134959 | 1.8335 % | 1.570226 | 4.081100 | 1.682 |
| 010502 | 05国债(2) | 99.650 | 99.650 | 0.010 | 99.650000 | 0.000000 | 1.7210 % | 0.202003 | 0.239391 | 0.205 |
| 100405 | 国债0405 | 99.180 | 99.230 | 0.050 | 99.230000 | 0.000000 | 1.7038 % | 0.449869 | 0.644715 | 0.458 |
| 010411 | 04国债(11) | 101.390 | 101.320 | 0.000 | 101.450630 | 0.130630 | 1.5726 % | 0.944058 | 1.820686 | 0.959 |
| 010510 | 05国债(10) | 98.820 | 98.900 | 0.090 | 98.900000 | 0.000000 | 1.5710 % | 0.698614 | 1.175870 | 0.710 |
| 010506 | 05国债(6) | 99.310 | 99.330 | 0.030 | 99.330000 | 0.000000 | 1.4802 % | 0.450861 | 0.647560 | 0.458 |
| 010405 | 04国债(5) | 99.350 | 99.340 | 0.010 | 99.340000 | 0.000000 | 1.4578 % | 0.450960 | 0.647845 | 0.458 |
| 010515 | 05国债(15) | 99.900 | 99.750 | 0.000 | 99.750000 | 0.000000 | 1.0680 % | 0.233127 | 0.285011 | 0.236 |
| 000696 | 96国债(6) | 105.300 | 105.340 | 0.080 | 111.822192 | 6.482192 | 0.0154 % | 0.454725 | 0.661429 | 0.455 |
| 101966 | 国债966 | 106.100 | 106.100 | 0.000 | 112.582192 | 6.482192 | -1.4632 % | 0.461548 | 0.681428 | 0.455 |
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。 |
