查看评论 | 数据日期：2006-01-20 |
| 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 |
| 101917 | 国债917 | 109.560 | 109.560 | -0.910 | 111.590795 | 2.030795 | 3.4876 % | 11.123344 | 160.483490 | 15.526 |
| 010504 | 05国债(4) | 109.880 | 109.820 | -0.060 | 110.574438 | 0.754438 | 3.4406 % | 13.266640 | 230.135225 | 19.315 |
| 100303 | 国债0303 | 100.350 | 100.560 | 0.080 | 101.454247 | 0.894247 | 3.3844 % | 12.655329 | 202.998477 | 17.238 |
| 010303 | 03国债(3) | 100.600 | 100.650 | 0.000 | 101.544247 | 0.894247 | 3.3774 % | 12.658330 | 203.070624 | 17.238 |
| 010107 | 21国债(7) | 110.900 | 111.040 | 0.060 | 113.070795 | 2.030795 | 3.3694 % | 11.166778 | 161.423510 | 15.526 |
| 010512 | 05国债(12) | 104.230 | 104.380 | -0.010 | 105.050000 | 0.670000 | 3.3005 % | 11.214174 | 157.768909 | 14.819 |
| 100505 | 国债0505 | 103.300 | 101.010 | -1.540 | 103.235123 | 2.225123 | 3.1879 % | 5.522095 | 38.118999 | 6.342 |
| 100213 | 国债0213 | 94.500 | 94.730 | 0.250 | 95.606164 | 0.876164 | 3.1670 % | 9.687087 | 113.275060 | 11.666 |
| 010213 | 02国债(13) | 94.840 | 94.840 | 0.000 | 95.716164 | 0.876164 | 3.1551 % | 9.689394 | 113.318614 | 11.666 |
| 100308 | 国债0308 | 100.280 | 100.280 | -0.040 | 101.322521 | 1.042521 | 2.9759 % | 6.685599 | 54.334077 | 7.658 |
| 010308 | 03国债(8) | 100.300 | 100.330 | -0.030 | 101.372521 | 1.042521 | 2.9685 % | 6.686310 | 54.344243 | 7.658 |
| 100301 | 国债0301 | 100.740 | 98.820 | -1.860 | 101.268658 | 2.448658 | 2.9685 % | 3.717255 | 18.094268 | 4.082 |
| 101912 | 国债912 | 100.700 | 100.550 | -0.290 | 101.243562 | 0.693562 | 2.9420 % | 5.197089 | 33.377233 | 5.775 |
| 010501 | 05国债(1) | 112.150 | 112.140 | -0.010 | 113.916000 | 1.776000 | 2.9302 % | 7.356994 | 68.177137 | 9.107 |
| 100203 | 国债0203 | 97.980 | 97.920 | -0.060 | 99.854575 | 1.934575 | 2.9068 % | 5.572885 | 38.332020 | 6.241 |
| 010203 | 02国债(3) | 98.320 | 98.290 | -0.040 | 100.224575 | 1.934575 | 2.8405 % | 5.577713 | 38.391717 | 6.241 |
| 010110 | 21国债(10) | 100.840 | 100.800 | -0.020 | 101.753699 | 0.953699 | 2.7925 % | 5.124684 | 32.532525 | 5.679 |
| 010112 | 21国债(12) | 101.460 | 101.400 | -0.060 | 102.093562 | 0.693562 | 2.7813 % | 5.207334 | 33.498965 | 5.775 |
| 010513 | 05国债(13) | 102.200 | 102.180 | -0.020 | 102.650055 | 0.470055 | 2.6554 % | 6.107432 | 45.338313 | 6.847 |
| 010505 | 05国债(5) | 104.230 | 104.250 | -0.090 | 106.475123 | 2.225123 | 2.6304 % | 5.564743 | 38.641640 | 6.342 |
| 010509 | 05国债(9) | 101.080 | 101.250 | 0.010 | 102.405260 | 1.155260 | 2.6184 % | 5.892435 | 42.461655 | 6.595 |
| 101998 | 国债998 | 102.380 | 102.550 | 0.050 | 103.634932 | 1.084932 | 2.5587 % | 3.402195 | 15.272043 | 3.674 |
| 100503 | 国债0503 | 101.300 | 103.010 | 0.010 | 105.451096 | 2.441096 | 2.5418 % | 3.861590 | 19.462726 | 4.263 |
| 010210 | 02国债(10) | 99.600 | 99.530 | -0.110 | 100.564575 | 1.034575 | 2.5252 % | 3.347054 | 14.757975 | 3.570 |
| 101903 | 国债903 | 101.600 | 101.600 | -0.500 | 104.036822 | 2.436822 | 2.5242 % | 2.111318 | 6.656611 | 2.258 |
| 009908 | 99国债(8) | 102.790 | 102.690 | -0.100 | 103.774932 | 1.084932 | 2.5190 % | 3.403663 | 15.284710 | 3.674 |
| 010410 | 04国债(10) | 112.550 | 112.780 | -0.130 | 113.538959 | 0.758959 | 2.4809 % | 5.110829 | 32.902521 | 5.847 |
| 100115 | 国债0115 | 101.490 | 101.490 | 0.040 | 101.769452 | 0.279452 | 2.4591 % | 2.756007 | 10.415096 | 2.910 |
| 010115 | 21国债(15) | 101.750 | 101.680 | -0.070 | 101.959452 | 0.279452 | 2.3914 % | 2.757916 | 10.429293 | 2.910 |
| 010407 | 04国债(7) | 112.270 | 112.030 | -0.170 | 113.952712 | 1.922712 | 2.3826 % | 4.885387 | 30.397436 | 5.595 |
| 010307 | 03国债(7) | 101.210 | 101.200 | -0.180 | 102.322301 | 1.122301 | 2.3770 % | 4.229729 | 22.684973 | 4.581 |
| 010404 | 04国债(4) | 112.620 | 112.680 | 0.030 | 115.908740 | 3.228740 | 2.3328 % | 4.625475 | 27.714133 | 5.342 |
| 010311 | 03国债(11) | 105.400 | 105.400 | -0.050 | 106.004110 | 0.604110 | 2.3025 % | 4.411770 | 24.595202 | 4.830 |
| 010503 | 05国债(3) | 104.000 | 104.080 | 0.080 | 106.521096 | 2.441096 | 2.2807 % | 3.873495 | 19.574502 | 4.263 |
| 010215 | 02国债(15) | 102.400 | 102.400 | 0.000 | 102.769260 | 0.369260 | 2.2731 % | 3.628969 | 17.062227 | 3.877 |
| 010103 | 21国债(3) | 102.290 | 102.180 | -0.060 | 104.616822 | 2.436822 | 2.2613 % | 2.117115 | 6.692221 | 2.258 |
| 010511 | 05国债(11) | 99.400 | 99.450 | 0.010 | 99.995260 | 0.545260 | 2.2612 % | 4.441655 | 24.626151 | 4.748 |
| 010004 | 20国债(4) | 101.500 | 101.400 | -0.100 | 103.130959 | 1.730959 | 2.2542 % | 0.329557 | 0.430900 | 4.337 |
| 010301 | 03国债(1) | 101.270 | 101.600 | 0.050 | 104.048658 | 2.448658 | 2.2430 % | 3.748467 | 18.379322 | 4.082 |
| 010508 | 05国债(8) | 99.200 | 99.300 | 0.150 | 100.140740 | 0.840740 | 2.2093 % | 2.456165 | 8.523461 | 2.567 |
| 100502 | 国债0502 | 99.680 | 99.680 | 0.010 | 99.680000 | 0.000000 | 2.1901 % | 0.144775 | 0.162632 | 0.148 |
| 010214 | 02国债(14) | 100.800 | 100.780 | -0.020 | 101.426164 | 0.646164 | 2.1858 % | 1.696128 | 4.560677 | 1.759 |
| 010408 | 04国债(8) | 107.400 | 107.560 | -0.040 | 108.655616 | 1.095616 | 2.1721 % | 3.442796 | 15.689148 | 3.748 |
| 101995 | 国债995 | 101.700 | 101.700 | -0.040 | 103.083890 | 1.383890 | 2.1631 % | 1.516590 | 3.813688 | 1.581 |
| 100214 | 国债0214 | 100.100 | 100.820 | 0.110 | 101.466164 | 0.646164 | 2.1626 % | 1.696519 | 4.562772 | 1.759 |
| 100403 | 国债0403 | 107.000 | 107.000 | 0.000 | 110.342247 | 3.342247 | 2.1576 % | 2.947253 | 12.047779 | 3.247 |
| 010403 | 04国债(3) | 107.200 | 107.250 | 0.000 | 110.592247 | 3.342247 | 2.0808 % | 2.949835 | 12.067655 | 3.247 |
| 010010 | 20国债(10) | 100.620 | 100.650 | 0.000 | 101.089671 | 0.439671 | 1.9865 % | 0.800536 | 1.425800 | 1.816 |
| 010514 | 05国债(14) | 99.620 | 99.880 | -0.060 | 100.057397 | 0.177397 | 1.8114 % | 1.850638 | 5.258887 | 1.901 |
| 009905 | 99国债(5) | 102.210 | 102.270 | 0.010 | 103.653890 | 1.383890 | 1.8002 % | 1.522104 | 3.841260 | 1.581 |
| 010506 | 05国债(6) | 99.310 | 99.320 | -0.040 | 99.320000 | 0.000000 | 1.7204 % | 0.393235 | 0.541217 | 0.400 |
| 010507 | 05国债(7) | 99.800 | 99.800 | -0.010 | 100.622466 | 0.822466 | 1.7125 % | 1.441924 | 3.511613 | 1.482 |
| 010502 | 05国债(2) | 99.750 | 99.750 | 0.000 | 99.750000 | 0.000000 | 1.7063 % | 0.145463 | 0.164182 | 0.148 |
| 100411 | 国债0411 | 101.200 | 101.200 | 0.200 | 101.502082 | 0.302082 | 1.6167 % | 0.887030 | 1.659739 | 0.901 |
| 010405 | 04国债(5) | 99.370 | 99.400 | 0.000 | 99.400000 | 0.000000 | 1.5159 % | 0.394027 | 0.543400 | 0.400 |
| 010510 | 05国债(10) | 99.050 | 99.040 | -0.010 | 99.040000 | 0.000000 | 1.4904 % | 0.642479 | 1.045825 | 0.652 |
| 010411 | 04国债(11) | 101.300 | 101.350 | 0.050 | 101.652082 | 0.302082 | 1.4503 % | 0.888484 | 1.665187 | 0.901 |
| 010515 | 05国债(15) | 99.650 | 99.800 | 0.080 | 99.800000 | 0.000000 | 1.1305 % | 0.176091 | 0.205131 | 0.178 |
| 009704 | 97国债(4) | 114.500 | 114.600 | 0.100 | 118.297644 | 3.697644 | 0.6905 % | 1.531763 | 3.942067 | 1.625 |
| 101966 | 国债966 | 105.600 | 105.100 | 0.210 | 112.262822 | 7.162822 | -0.9677 % | 0.401142 | 0.565977 | 0.397 |
| 000696 | 96国债(6) | 105.150 | 105.310 | 0.010 | 112.472822 | 7.162822 | -1.4325 % | 0.403034 | 0.571327 | 0.397 |
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。 |
