查看评论 | 数据日期：2006-05-11 |
| 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 | 108.490 | 108.490 | -0.430 | 109.668795 | 1.178795 | 3.5651 % | 11.018212 | 156.162220 | 15.222 |
| 010107 | 21国债(7) | 109.170 | 109.000 | -0.170 | 110.178795 | 1.178795 | 3.5230 % | 11.032838 | 156.476325 | 15.222 |
| 010504 | 05国债(4) | 108.400 | 108.860 | -0.040 | 110.864329 | 2.004329 | 3.4998 % | 12.940767 | 221.335445 | 19.011 |
| 010303 | 03国债(3) | 99.300 | 99.200 | -0.110 | 99.432877 | 0.232877 | 3.4919 % | 12.527539 | 197.614859 | 16.934 |
| 100303 | 国债0303 | 99.160 | 99.580 | 0.130 | 99.812877 | 0.232877 | 3.4614 % | 12.539916 | 197.910389 | 16.934 |
| 010512 | 05国债(12) | 102.970 | 103.000 | 0.060 | 104.780000 | 1.780000 | 3.4147 % | 10.883535 | 150.208956 | 14.515 |
| 100213 | 国债0213 | 93.280 | 93.090 | -0.200 | 93.467534 | 0.377534 | 3.3614 % | 9.487713 | 108.179010 | 11.362 |
| 010213 | 02国债(13) | 93.400 | 93.210 | -0.230 | 93.587534 | 0.377534 | 3.3479 % | 9.490168 | 108.224853 | 11.362 |
| 100505 | 国债0505 | 101.500 | 100.600 | 0.270 | 103.849973 | 3.249973 | 3.2569 % | 5.222318 | 34.606739 | 6.038 |
| 100308 | 国债0308 | 99.400 | 99.400 | 0.150 | 101.360932 | 1.960932 | 3.1096 % | 6.377779 | 50.014996 | 7.353 |
| 010308 | 03国债(8) | 99.500 | 99.410 | -0.090 | 101.370932 | 1.960932 | 3.1081 % | 6.377923 | 50.016967 | 7.353 |
| 101912 | 国债912 | 99.300 | 99.900 | -0.200 | 101.521096 | 1.621096 | 3.0661 % | 4.894129 | 30.022073 | 5.471 |
| 100203 | 国债0203 | 97.490 | 97.200 | 0.000 | 97.367014 | 0.167014 | 3.0612 % | 5.405834 | 35.620696 | 5.937 |
| 010203 | 02国债(3) | 97.420 | 97.380 | -0.130 | 97.547014 | 0.167014 | 3.0271 % | 5.408020 | 35.647647 | 5.937 |
| 010603 | 06国债(03) | 98.300 | 98.390 | 0.090 | 98.742877 | 0.352877 | 3.0105 % | 8.402981 | 85.014775 | 9.877 |
| 100405 | 国债0405 | 99.720 | 99.720 | -0.030 | 99.720000 | 0.000000 | 2.9673 % | 0.093127 | 0.099116 | 0.096 |
| 010501 | 05国债(1) | 111.490 | 111.540 | 0.240 | 112.428000 | 0.888000 | 2.9623 % | 7.201084 | 64.831397 | 8.803 |
| 010110 | 21国债(10) | 100.120 | 99.980 | -0.140 | 101.830822 | 1.850822 | 2.9504 % | 4.819400 | 29.195227 | 5.375 |
| 010112 | 21国债(12) | 100.600 | 100.590 | -0.050 | 102.211096 | 1.621096 | 2.9279 % | 4.902531 | 30.116580 | 5.471 |
| 010509 | 05国债(9) | 99.650 | 99.710 | 0.060 | 101.725890 | 2.015890 | 2.8782 % | 5.576751 | 38.529062 | 6.290 |
| 100404 | 国债0404 | 109.500 | 109.500 | 0.000 | 114.215836 | 4.715836 | 2.8365 % | 4.298036 | 24.460280 | 5.038 |
| 101998 | 国债998 | 101.360 | 101.500 | -0.430 | 103.588493 | 2.088493 | 2.8209 % | 3.096758 | 12.981728 | 3.370 |
| 010505 | 05国债(5) | 102.920 | 103.000 | 0.050 | 106.249973 | 3.249973 | 2.8207 % | 5.254386 | 34.979086 | 6.038 |
| 100210 | 国债0210 | 98.600 | 98.680 | -0.120 | 100.441397 | 1.761397 | 2.8145 % | 3.041013 | 12.496380 | 3.266 |
| 010513 | 05国债(13) | 101.180 | 101.560 | 0.000 | 102.945425 | 1.385425 | 2.7432 % | 5.804392 | 41.431749 | 6.542 |
| 010601 | 06国债(01) | 98.600 | 98.690 | 0.040 | 99.198877 | 0.508877 | 2.7216 % | 6.135322 | 45.451922 | 6.800 |
| 100307 | 国债0307 | 99.760 | 99.760 | -0.030 | 101.691233 | 1.931233 | 2.7166 % | 3.917426 | 19.824817 | 4.277 |
| 100408 | 国债0408 | 105.500 | 105.200 | -0.480 | 107.603288 | 2.403288 | 2.6908 % | 3.126849 | 13.289136 | 3.444 |
| 010210 | 02国债(10) | 99.200 | 99.130 | -0.160 | 100.891397 | 1.761397 | 2.6676 % | 3.045791 | 12.534216 | 3.266 |
| 009908 | 99国债(8) | 102.100 | 102.030 | -0.120 | 104.118493 | 2.088493 | 2.6563 % | 3.102351 | 13.026538 | 3.370 |
| 100403 | 国债0403 | 105.670 | 105.000 | -0.070 | 105.266411 | 0.266411 | 2.6266 % | 2.748400 | 10.411184 | 2.942 |
| 010511 | 05国债(11) | 97.800 | 98.000 | 0.200 | 99.196055 | 1.196055 | 2.6196 % | 4.127808 | 21.617511 | 4.444 |
| 010503 | 05国债(3) | 102.500 | 102.570 | 0.030 | 102.714658 | 0.144658 | 2.6055 % | 3.678163 | 17.493482 | 3.959 |
| 010410 | 04国债(10) | 111.330 | 111.500 | -0.150 | 113.736932 | 2.236932 | 2.5996 % | 4.806380 | 29.582771 | 5.542 |
| 100115 | 国债0115 | 101.000 | 101.000 | 0.000 | 102.191781 | 1.191781 | 2.5912 % | 2.455858 | 8.554670 | 2.605 |
| 101904 | 国债904 | 100.120 | 100.120 | -0.180 | 102.641644 | 2.521644 | 2.5661 % | 0.032054 | 0.032280 | 4.033 |
| 010407 | 04国债(7) | 110.000 | 110.500 | -0.010 | 113.855069 | 3.355069 | 2.5576 % | 4.577450 | 27.178107 | 5.290 |
| 010311 | 03国债(11) | 104.050 | 104.090 | -0.010 | 105.758493 | 1.668493 | 2.5275 % | 4.103637 | 21.662678 | 4.526 |
| 010307 | 03国债(7) | 100.760 | 100.750 | -0.050 | 102.681233 | 1.931233 | 2.4696 % | 3.928509 | 19.930384 | 4.277 |
| 101903 | 国债903 | 101.780 | 101.500 | -0.300 | 101.661260 | 0.161260 | 2.4683 % | 1.875700 | 5.377756 | 1.953 |
| 010115 | 21国债(15) | 101.490 | 101.400 | -0.080 | 102.591781 | 1.191781 | 2.4322 % | 2.459875 | 8.582124 | 2.605 |
| 010404 | 04国债(4) | 111.020 | 111.580 | 0.020 | 116.295836 | 4.715836 | 2.4178 % | 4.323174 | 24.711491 | 5.038 |
| 010301 | 03国债(1) | 100.800 | 100.860 | 0.070 | 101.457589 | 0.597589 | 2.4155 % | 3.540560 | 16.310638 | 3.778 |
| 010215 | 02国债(15) | 102.000 | 101.850 | -0.300 | 103.110301 | 1.260301 | 2.3789 % | 3.327812 | 14.669412 | 3.573 |
| 010004 | 20国债(4) | 100.800 | 100.890 | -0.010 | 103.411644 | 2.521644 | 2.3639 % | 0.032118 | 0.032407 | 4.033 |
| 010103 | 21国债(3) | 101.950 | 101.920 | -0.130 | 102.081260 | 0.161260 | 2.2488 % | 1.879791 | 5.401120 | 1.953 |
| 010508 | 05国债(8) | 99.300 | 99.300 | -0.030 | 100.727671 | 1.427671 | 2.2464 % | 2.157813 | 6.854187 | 2.263 |
| 101995 | 国债995 | 101.300 | 101.300 | -0.110 | 103.681370 | 2.381370 | 2.2229 % | 1.218189 | 2.704828 | 1.277 |
| 010408 | 04国债(8) | 107.050 | 107.010 | -0.040 | 109.413288 | 2.403288 | 2.1590 % | 3.145619 | 13.440746 | 3.444 |
| 100214 | 国债0214 | 100.390 | 100.690 | -0.060 | 102.142055 | 1.452055 | 2.1531 % | 1.398979 | 3.350625 | 1.455 |
| 010514 | 05国债(14) | 99.380 | 99.380 | -0.050 | 100.089589 | 0.709589 | 2.1430 % | 1.546847 | 3.923389 | 1.597 |
| 010507 | 05国债(7) | 99.420 | 99.420 | 0.020 | 100.722959 | 1.302959 | 2.0777 % | 1.138793 | 2.427229 | 1.178 |
| 010403 | 04国债(3) | 106.570 | 106.700 | -0.060 | 106.966411 | 0.266411 | 2.0455 % | 2.765099 | 10.535306 | 2.942 |
| 010214 | 02国债(14) | 100.800 | 100.850 | -0.040 | 102.302055 | 1.452055 | 2.0413 % | 1.400539 | 3.358049 | 1.455 |
| 009905 | 99国债(5) | 101.680 | 101.840 | 0.030 | 104.221370 | 2.381370 | 1.7974 % | 1.223406 | 2.727800 | 1.277 |
| 010010 | 20国债(10) | 100.750 | 100.830 | -0.080 | 101.987370 | 1.157370 | 1.7909 % | 0.503315 | 0.747786 | 1.512 |
| 100411 | 国债0411 | 100.800 | 100.800 | 0.410 | 102.008329 | 1.208329 | 1.6000 % | 0.587855 | 0.924171 | 0.597 |
| 010411 | 04国债(11) | 100.820 | 100.840 | 0.000 | 102.048329 | 1.208329 | 1.5333 % | 0.588241 | 0.925385 | 0.597 |
| 010506 | 05国债(6) | 99.830 | 99.860 | 0.040 | 99.860000 | 0.000000 | 1.4718 % | 0.094500 | 0.102059 | 0.096 |
| 010405 | 04国债(5) | 99.830 | 99.860 | 0.030 | 99.860000 | 0.000000 | 1.4718 % | 0.094500 | 0.102059 | 0.096 |
| 009704 | 97国债(4) | 111.270 | 111.340 | -0.420 | 118.011836 | 6.671836 | 1.0580 % | 1.224993 | 2.786970 | 1.321 |
| 101973 | 国债973 | 111.990 | 111.990 | 1.090 | 118.661836 | 6.671836 | 0.6107 % | 1.230773 | 2.812684 | 1.321 |
| 000696 | 96国债(6) | 101.450 | 101.160 | -0.340 | 111.920438 | 10.760438 | -0.8641 % | 0.093963 | 0.103611 | 0.093 |
| 101966 | 国债966 | 101.020 | 101.890 | 0.290 | 112.650438 | 10.760438 | -7.5472 % | 0.100755 | 0.119131 | 0.093 |
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。 |
