查看评论 | 数据日期：2006-06-22 |
| 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 |
| 010107 | 21国债(7) | 107.010 | 106.930 | -0.070 | 108.598986 | 1.668986 | 3.6922 % | 10.863048 | 152.684616 | 15.107 |
| 101917 | 国债917 | 107.200 | 107.200 | 0.000 | 108.868986 | 1.668986 | 3.6693 % | 10.870971 | 152.852446 | 15.107 |
| 010504 | 05国债(4) | 106.540 | 106.470 | -0.080 | 106.909151 | 0.439151 | 3.6654 % | 12.988239 | 220.321603 | 18.896 |
| 010303 | 03国债(3) | 97.440 | 97.350 | -0.100 | 97.974110 | 0.624110 | 3.6431 % | 12.354953 | 193.285147 | 16.819 |
| 100303 | 国债0303 | 97.560 | 97.550 | -0.450 | 98.174110 | 0.624110 | 3.6266 % | 12.361659 | 193.443128 | 16.819 |
| 100213 | 国债0213 | 90.810 | 91.000 | -0.200 | 91.676712 | 0.676712 | 3.6089 % | 9.331685 | 105.149474 | 11.247 |
| 010213 | 02国债(13) | 91.090 | 91.080 | -0.010 | 91.756712 | 0.676712 | 3.5996 % | 9.333374 | 105.180446 | 11.247 |
| 010512 | 05国债(12) | 101.500 | 101.500 | -0.320 | 101.890000 | 0.390000 | 3.5450 % | 10.925697 | 149.480600 | 14.400 |
| 010308 | 03国债(8) | 97.290 | 97.190 | -0.110 | 99.498438 | 2.308438 | 3.4627 % | 6.233636 | 48.060544 | 7.238 |
| 100308 | 国债0308 | 96.500 | 97.300 | -0.510 | 99.608438 | 2.308438 | 3.4450 % | 6.235267 | 48.082296 | 7.238 |
| 010203 | 02国债(3) | 95.500 | 95.600 | 0.120 | 96.059288 | 0.459288 | 3.3828 % | 5.274008 | 34.074150 | 5.822 |
| 100505 | 国债0505 | 100.030 | 100.020 | -0.680 | 100.287753 | 0.267753 | 3.3637 % | 5.277580 | 34.382560 | 5.923 |
| 010110 | 21国债(10) | 98.010 | 98.060 | 0.000 | 100.250274 | 2.190274 | 3.3548 % | 4.684001 | 27.765949 | 5.260 |
| 010112 | 21国债(12) | 98.500 | 98.770 | 0.020 | 100.742055 | 1.972055 | 3.3002 % | 4.768553 | 28.680311 | 5.356 |
| 010603 | 06国债(03) | 96.740 | 96.710 | -0.040 | 97.385069 | 0.675069 | 3.2190 % | 8.261468 | 82.542603 | 9.762 |
| 100210 | 国债0210 | 97.650 | 97.650 | 0.050 | 99.686411 | 2.036411 | 3.1818 % | 2.917599 | 11.631195 | 3.151 |
| 100307 | 国债0307 | 98.500 | 98.000 | -0.100 | 100.237315 | 2.237315 | 3.1773 % | 3.785348 | 18.665014 | 4.162 |
| 101998 | 国债998 | 100.420 | 100.400 | -0.360 | 102.868219 | 2.468219 | 3.1626 % | 2.973665 | 12.105496 | 3.255 |
| 100407 | 国债0407 | 107.000 | 107.390 | -0.590 | 111.287041 | 3.897041 | 3.1359 % | 4.430027 | 25.692139 | 5.175 |
| 010210 | 02国债(10) | 97.820 | 97.840 | -0.060 | 99.876411 | 2.036411 | 3.1166 % | 2.919635 | 11.646785 | 3.151 |
| 009908 | 99国债(8) | 100.690 | 100.630 | -0.030 | 103.098219 | 2.468219 | 3.0875 % | 2.976116 | 12.124494 | 3.255 |
| 010505 | 05国债(5) | 101.610 | 101.610 | 0.000 | 101.877753 | 0.267753 | 3.0662 % | 5.297049 | 34.616937 | 5.923 |
| 010601 | 06国债(01) | 96.800 | 96.800 | 0.140 | 97.597699 | 0.797699 | 3.0438 % | 5.998547 | 43.652153 | 6.685 |
| 101903 | 国债903 | 100.410 | 100.410 | 0.030 | 100.947534 | 0.537534 | 3.0285 % | 1.753653 | 4.806228 | 1.838 |
| 100115 | 国债0115 | 100.000 | 100.000 | -0.200 | 101.536986 | 1.536986 | 2.9919 % | 2.334060 | 7.843510 | 2.490 |
| 010511 | 05国债(11) | 96.980 | 96.640 | -0.350 | 98.082301 | 1.442301 | 2.9756 % | 3.999814 | 20.440879 | 4.329 |
| 010115 | 21国债(15) | 100.080 | 100.050 | -0.050 | 101.586986 | 1.536986 | 2.9708 % | 2.334565 | 7.846833 | 2.490 |
| 010501 | 05国债(1) | 111.400 | 111.500 | 0.040 | 112.898904 | 1.398904 | 2.9507 % | 7.090815 | 63.147733 | 8.688 |
| 010509 | 05国债(9) | 99.490 | 99.500 | 0.010 | 101.841534 | 2.341534 | 2.9172 % | 5.462050 | 37.150806 | 6.175 |
| 010410 | 04国债(10) | 109.770 | 109.690 | -0.400 | 112.486164 | 2.796164 | 2.8987 % | 4.675209 | 28.203067 | 5.427 |
| 010407 | 04国债(7) | 109.000 | 108.620 | -0.420 | 112.517041 | 3.897041 | 2.8882 % | 4.445081 | 25.846487 | 5.175 |
| 010513 | 05国债(13) | 100.800 | 100.800 | 0.240 | 102.531781 | 1.731781 | 2.8687 % | 5.682822 | 39.914783 | 6.427 |
| 010311 | 03国债(11) | 102.650 | 102.670 | -0.440 | 104.741233 | 2.071233 | 2.8422 % | 3.976611 | 20.502399 | 4.411 |
| 010103 | 21国债(3) | 100.650 | 100.800 | -0.040 | 101.337534 | 0.537534 | 2.8089 % | 1.757463 | 4.827013 | 1.838 |
| 010605 | 06国债(05) | 98.470 | 98.470 | 0.000 | 98.719863 | 0.249863 | 2.7359 % | 4.543281 | 25.675699 | 4.899 |
| 010404 | 04国债(4) | 109.910 | 109.800 | -0.300 | 110.188521 | 0.388521 | 2.7316 % | 4.382066 | 24.508572 | 4.923 |
| 101904 | 国债904 | 99.550 | 99.550 | 0.000 | 99.770822 | 0.220822 | 2.7200 % | 0.893505 | 1.668197 | 3.918 |
| 010004 | 20国债(4) | 99.600 | 99.610 | 0.010 | 99.830822 | 0.220822 | 2.7036 % | 0.893648 | 1.668729 | 3.918 |
| 010503 | 05国债(3) | 102.390 | 102.190 | -0.210 | 102.714384 | 0.524384 | 2.6886 % | 3.562815 | 16.543090 | 3.844 |
| 100408 | 国债0408 | 105.140 | 105.100 | -4.900 | 107.998082 | 2.898082 | 2.6707 % | 3.015481 | 12.497188 | 3.329 |
| 100214 | 国债0214 | 99.980 | 99.980 | 0.000 | 101.736986 | 1.756986 | 2.6538 % | 1.279942 | 2.908971 | 1.340 |
| 010301 | 03国债(1) | 100.000 | 100.050 | 0.040 | 100.953671 | 0.903671 | 2.6411 % | 3.419953 | 15.346250 | 3.663 |
| 010307 | 03国债(7) | 100.010 | 100.070 | -0.050 | 102.307315 | 2.237315 | 2.6389 % | 3.808795 | 18.882121 | 4.162 |
| 010215 | 02国债(15) | 101.000 | 101.000 | 0.000 | 102.597452 | 1.597452 | 2.6184 % | 3.207088 | 13.755474 | 3.458 |
| 010214 | 02国债(14) | 100.100 | 100.120 | -0.060 | 101.876986 | 1.756986 | 2.5464 % | 1.281308 | 2.915134 | 1.340 |
| 010408 | 04国债(8) | 105.530 | 105.580 | -0.420 | 108.478082 | 2.898082 | 2.5238 % | 3.020489 | 12.536419 | 3.329 |
| 010514 | 05国债(14) | 98.950 | 98.950 | -0.050 | 99.860959 | 0.910959 | 2.4732 % | 1.429519 | 3.454748 | 1.482 |
| 010403 | 04国债(3) | 105.600 | 105.590 | -0.010 | 106.365014 | 0.775014 | 2.3463 % | 2.643999 | 9.753749 | 2.827 |
| 010508 | 05国债(8) | 99.150 | 99.150 | 0.110 | 100.799753 | 1.649753 | 2.3364 % | 2.043394 | 6.259802 | 2.148 |
| 010507 | 05国债(7) | 99.240 | 99.240 | -0.010 | 100.724767 | 1.484767 | 2.3068 % | 1.023735 | 2.063416 | 1.063 |
| 010010 | 20国债(10) | 100.030 | 100.170 | 0.070 | 101.598932 | 1.428932 | 2.2258 % | 0.388611 | 0.531168 | 1.397 |
| 009905 | 99国债(5) | 101.170 | 101.200 | 0.030 | 103.958795 | 2.758795 | 2.2101 % | 1.105766 | 2.333723 | 1.162 |
| 100411 | 国债0411 | 100.990 | 100.990 | 0.090 | 102.541233 | 1.551233 | 0.8894 % | 0.477941 | 0.702155 | 0.482 |
| 009704 | 97国债(4) | 111.310 | 111.230 | -0.070 | 119.027206 | 7.797206 | 0.3983 % | 1.118924 | 2.441237 | 1.205 |
| 010411 | 04国债(11) | 101.060 | 101.290 | -0.210 | 102.841233 | 1.551233 | 0.2800 % | 0.480845 | 0.710715 | 0.482 |
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。 |
