查看评论 | 数据日期：2006-05-23 |
| 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 | 108.750 | 108.890 | 0.170 | 110.208849 | 1.318849 | 3.5309 % | 10.998348 | 155.687375 | 15.189 |
| 010107 | 21国债(7) | 109.020 | 109.050 | 0.030 | 110.368849 | 1.318849 | 3.5177 % | 11.002927 | 155.785458 | 15.189 |
| 010504 | 05国债(4) | 108.520 | 108.580 | 0.040 | 108.681343 | 0.101343 | 3.5174 % | 13.144018 | 224.414227 | 18.978 |
| 100303 | 国债0303 | 99.200 | 99.130 | -0.110 | 99.474658 | 0.344658 | 3.4975 % | 12.493468 | 196.734391 | 16.901 |
| 010303 | 03国债(3) | 99.150 | 99.140 | -0.010 | 99.484658 | 0.344658 | 3.4967 % | 12.493795 | 196.742175 | 16.901 |
| 010512 | 05国债(12) | 103.400 | 103.200 | 0.090 | 103.290000 | 0.090000 | 3.3953 % | 11.050244 | 152.261031 | 14.482 |
| 100213 | 国债0213 | 92.910 | 93.000 | -0.060 | 93.463014 | 0.463014 | 3.3735 % | 9.453728 | 107.505201 | 11.329 |
| 010213 | 02国债(13) | 93.050 | 93.120 | 0.000 | 93.583014 | 0.463014 | 3.3599 % | 9.456188 | 107.550958 | 11.329 |
| 100308 | 国债0308 | 99.000 | 99.000 | 0.000 | 101.060219 | 2.060219 | 3.1723 % | 6.340058 | 49.499182 | 7.321 |
| 010308 | 03国债(8) | 99.050 | 99.030 | -0.060 | 101.090219 | 2.060219 | 3.1677 % | 6.340493 | 49.505089 | 7.321 |
| 100203 | 国债0203 | 96.900 | 96.910 | 0.010 | 97.160521 | 0.250521 | 3.1192 % | 5.370244 | 35.200650 | 5.904 |
| 101912 | 国债912 | 99.750 | 99.730 | -0.170 | 101.451370 | 1.721370 | 3.1007 % | 4.860144 | 29.656605 | 5.438 |
| 100505 | 国债0505 | 102.900 | 101.450 | 0.000 | 104.810767 | 3.360767 | 3.0999 % | 5.201951 | 34.376533 | 6.005 |
| 010203 | 02国债(3) | 97.080 | 97.080 | -0.060 | 97.330521 | 0.250521 | 3.0866 % | 5.372315 | 35.226026 | 5.904 |
| 100501 | 国债0501 | 110.670 | 110.980 | -1.380 | 112.013973 | 1.033973 | 3.0272 % | 7.160755 | 64.216454 | 8.770 |
| 010603 | 06国债(03) | 98.450 | 98.300 | -0.090 | 98.744932 | 0.444932 | 3.0219 % | 8.369426 | 84.420678 | 9.844 |
| 010112 | 21国债(12) | 100.350 | 100.240 | -0.180 | 101.961370 | 1.721370 | 2.9976 % | 4.866372 | 29.726200 | 5.438 |
| 010110 | 21国债(10) | 99.900 | 99.800 | -0.160 | 101.747808 | 1.947808 | 2.9874 % | 4.785268 | 28.833204 | 5.342 |
| 100210 | 国债0210 | 98.450 | 98.460 | 0.010 | 100.299973 | 1.839973 | 2.8917 % | 3.006554 | 12.252351 | 3.233 |
| 100503 | 国债0503 | 101.900 | 101.550 | -0.040 | 101.803151 | 0.253151 | 2.8735 % | 3.635604 | 17.131729 | 3.926 |
| 010501 | 05国债(1) | 112.000 | 112.290 | 0.190 | 113.323973 | 1.033973 | 2.8651 % | 7.181745 | 64.529336 | 8.770 |
| 101998 | 国债998 | 101.350 | 101.350 | -0.230 | 103.546986 | 2.196986 | 2.8638 % | 3.063341 | 12.742170 | 3.337 |
| 010509 | 05国债(9) | 99.900 | 99.900 | 0.150 | 102.008932 | 2.108932 | 2.8450 % | 5.547256 | 38.172836 | 6.258 |
| 100407 | 国债0407 | 109.010 | 109.010 | 0.000 | 112.519918 | 3.509918 | 2.8359 % | 4.528189 | 26.674355 | 5.258 |
| 010505 | 05国债(5) | 104.200 | 103.000 | -0.250 | 106.360767 | 3.360767 | 2.8183 % | 5.222590 | 34.615073 | 6.005 |
| 010513 | 05国债(13) | 101.300 | 101.300 | -0.100 | 102.784384 | 1.484384 | 2.7857 % | 5.769114 | 40.988357 | 6.510 |
| 010210 | 02国债(10) | 98.950 | 98.800 | -0.150 | 100.639973 | 1.839973 | 2.7792 % | 3.010172 | 12.280737 | 3.233 |
| 009908 | 99国债(8) | 101.740 | 101.700 | -0.100 | 103.896986 | 2.196986 | 2.7538 % | 3.067042 | 12.771554 | 3.337 |
| 010601 | 06国债(01) | 98.800 | 98.530 | 0.020 | 99.121397 | 0.591397 | 2.7489 % | 6.101195 | 45.000485 | 6.767 |
| 100404 | 国债0404 | 109.320 | 109.950 | -0.050 | 114.826603 | 4.876603 | 2.7331 % | 4.272228 | 24.216427 | 5.005 |
| 010511 | 05国债(11) | 98.250 | 97.600 | -0.170 | 98.866411 | 1.266411 | 2.7217 % | 4.091132 | 21.276904 | 4.411 |
| 100115 | 国债0115 | 100.430 | 100.870 | 0.160 | 102.160411 | 1.290411 | 2.6385 % | 2.422632 | 8.359076 | 2.573 |
| 010115 | 21国债(15) | 101.110 | 100.910 | -0.210 | 102.200411 | 1.290411 | 2.6224 % | 2.423034 | 8.361796 | 2.573 |
| 010410 | 04国债(10) | 111.410 | 111.510 | 0.050 | 113.906712 | 2.396712 | 2.5860 % | 4.775212 | 29.254133 | 5.510 |
| 010311 | 03国债(11) | 103.830 | 103.820 | -0.010 | 105.603562 | 1.783562 | 2.5836 % | 4.068880 | 21.342891 | 4.493 |
| 101904 | 国债904 | 100.350 | 100.250 | -0.050 | 100.257123 | 0.007123 | 2.5316 % | 0.975309 | 1.902456 | 4.000 |
| 101903 | 国债903 | 101.390 | 101.390 | 0.000 | 101.658767 | 0.268767 | 2.5132 % | 1.842796 | 5.222492 | 1.921 |
| 010503 | 05国债(3) | 102.900 | 102.900 | 0.000 | 103.153151 | 0.253151 | 2.5119 % | 3.649806 | 17.261211 | 3.926 |
| 010307 | 03国债(7) | 100.400 | 100.610 | -0.070 | 102.628685 | 2.018685 | 2.5033 % | 3.894919 | 19.633753 | 4.244 |
| 010407 | 04国债(7) | 110.600 | 110.940 | 0.040 | 114.449918 | 3.509918 | 2.4613 % | 4.551363 | 26.917032 | 5.258 |
| 010103 | 21国债(3) | 101.600 | 101.520 | -0.130 | 101.788767 | 0.268767 | 2.4438 % | 1.844063 | 5.229638 | 1.921 |
| 100403 | 国债0403 | 104.000 | 105.500 | -0.250 | 105.911726 | 0.411726 | 2.4332 % | 2.721841 | 10.245176 | 2.910 |
| 010215 | 02国债(15) | 101.610 | 101.650 | 0.040 | 103.006630 | 1.356630 | 2.4329 % | 3.293776 | 14.409147 | 3.540 |
| 010301 | 03国债(1) | 100.710 | 100.800 | 0.090 | 101.485041 | 0.685041 | 2.4302 % | 3.507910 | 16.048149 | 3.745 |
| 010004 | 20国债(4) | 100.800 | 100.700 | -0.150 | 100.707123 | 0.007123 | 2.4124 % | 0.976444 | 1.906886 | 4.000 |
| 010404 | 04国债(4) | 111.380 | 111.600 | 0.090 | 116.476603 | 4.876603 | 2.4000 % | 4.292146 | 24.414296 | 5.005 |
| 010508 | 05国债(8) | 99.220 | 99.260 | -0.030 | 100.751123 | 1.491123 | 2.2698 % | 2.125151 | 6.681874 | 2.230 |
| 010214 | 02国债(14) | 100.670 | 100.560 | -0.190 | 102.099178 | 1.539178 | 2.2351 % | 1.365680 | 3.224873 | 1.422 |
| 010514 | 05国债(14) | 99.340 | 99.310 | -0.030 | 100.077123 | 0.767123 | 2.1973 % | 1.513847 | 3.789282 | 1.564 |
| 101995 | 国债995 | 101.100 | 101.320 | 0.220 | 103.809206 | 2.489206 | 2.1800 % | 1.186538 | 2.598254 | 1.244 |
| 010408 | 04国债(8) | 106.820 | 106.930 | 0.030 | 109.474658 | 2.544658 | 2.1635 % | 3.113277 | 13.206532 | 3.411 |
| 010507 | 05国债(7) | 99.310 | 99.350 | 0.040 | 100.704904 | 1.354904 | 2.1550 % | 1.105736 | 2.319817 | 1.145 |
| 010403 | 04国债(3) | 106.600 | 106.560 | -0.140 | 106.971726 | 0.411726 | 2.0680 % | 2.732237 | 10.321842 | 2.910 |
| 010010 | 20国债(10) | 100.660 | 100.580 | -0.120 | 101.814959 | 1.234959 | 1.9501 % | 0.470281 | 0.682451 | 1.479 |
| 009905 | 99国债(5) | 101.710 | 101.770 | -0.020 | 104.259206 | 2.489206 | 1.8161 % | 1.190885 | 2.617120 | 1.244 |
| 010405 | 04国债(5) | 99.900 | 99.890 | -0.010 | 99.890000 | 0.000000 | 1.7620 % | 0.061923 | 0.064685 | 0.063 |
| 010506 | 05国债(6) | 99.890 | 99.890 | 0.000 | 99.890000 | 0.000000 | 1.7620 % | 0.061923 | 0.064685 | 0.063 |
| 010510 | 05国债(10) | 99.500 | 99.500 | -0.030 | 99.500000 | 0.000000 | 1.6037 % | 0.310096 | 0.401361 | 0.315 |
| 010411 | 04国债(11) | 100.810 | 100.820 | -0.030 | 102.126301 | 1.306301 | 1.4859 % | 0.556120 | 0.857247 | 0.564 |
| 009704 | 97国债(4) | 111.050 | 111.450 | 0.000 | 118.443370 | 6.993370 | 0.7814 % | 1.195940 | 2.691372 | 1.288 |
| 000696 | 96国债(6) | 100.750 | 100.770 | 0.020 | 111.919370 | 11.149370 | -1.3166 % | 0.061078 | 0.065624 | 0.060 |
| 101966 | 国债966 | 102.500 | 107.000 | 4.190 | 118.149370 | 11.149370 | -59.8280 % | 0.150040 | 0.396005 | 0.060 |
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。 |
