查看评论 | 数据日期：2006-09-27 |
| 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 |
| 010504 | 05国债(4) | 108.110 | 108.200 | 0.100 | 109.731397 | 1.531397 | 3.5362 % | 12.798222 | 215.126160 | 18.630 |
| 010107 | 21国债(7) | 108.600 | 108.720 | 0.120 | 109.408603 | 0.688603 | 3.5306 % | 10.874082 | 150.986134 | 14.841 |
| 010303 | 03国债(3) | 98.730 | 98.880 | 0.130 | 100.407671 | 1.527671 | 3.5191 % | 12.148567 | 187.921051 | 16.553 |
| 100303 | 国债0303 | 99.100 | 99.100 | 0.430 | 100.627671 | 1.527671 | 3.5011 % | 12.155831 | 188.088809 | 16.553 |
| 010512 | 05国债(12) | 101.950 | 102.000 | 0.150 | 103.360000 | 1.360000 | 3.4976 % | 10.683211 | 143.982120 | 14.134 |
| 100213 | 国债0213 | 92.980 | 93.010 | 0.030 | 93.066986 | 0.056986 | 3.3944 % | 9.241047 | 102.272163 | 10.981 |
| 010213 | 02国债(13) | 93.570 | 93.800 | 0.150 | 93.856986 | 0.056986 | 3.3030 % | 9.256469 | 102.555382 | 10.981 |
| 100203 | 国债0203 | 96.410 | 96.410 | 0.200 | 97.544301 | 1.134301 | 3.2533 % | 5.024738 | 31.269893 | 5.556 |
| 010603 | 06国债(03) | 97.680 | 97.260 | -0.140 | 97.267671 | 0.007671 | 3.1608 % | 8.127503 | 79.363705 | 9.496 |
| 101912 | 国债912 | 99.500 | 99.500 | 0.000 | 102.282603 | 2.782603 | 3.1552 % | 4.519552 | 26.130216 | 5.090 |
| 010308 | 03国债(8) | 99.120 | 99.250 | 0.100 | 99.341014 | 0.091014 | 3.1399 % | 6.189262 | 46.418520 | 6.973 |
| 100501 | 国债0501 | 110.000 | 110.000 | 0.010 | 110.377096 | 0.377096 | 3.1025 % | 6.952528 | 60.223225 | 8.422 |
| 010601 | 06国债(01) | 96.550 | 96.720 | 0.000 | 98.184740 | 1.464740 | 3.0781 % | 5.738095 | 40.341915 | 6.419 |
| 010513 | 05国债(13) | 100.300 | 99.780 | 0.050 | 102.311699 | 2.531699 | 3.0471 % | 5.411347 | 36.636525 | 6.162 |
| 010203 | 02国债(3) | 97.420 | 97.450 | 0.000 | 98.584301 | 1.134301 | 3.0425 % | 5.037452 | 31.416733 | 5.556 |
| 100301 | 国债0301 | 98.820 | 98.820 | 0.000 | 100.430575 | 1.610575 | 3.0254 % | 3.148025 | 13.284212 | 3.397 |
| 100505 | 国债0505 | 100.600 | 101.770 | 0.850 | 102.933343 | 1.163343 | 3.0210 % | 5.042058 | 31.734524 | 5.658 |
| 100210 | 国债0210 | 98.360 | 98.360 | 0.000 | 98.641562 | 0.281562 | 2.9881 % | 2.733131 | 10.229834 | 2.885 |
| 010501 | 05国债(1) | 110.780 | 110.980 | -0.020 | 111.357096 | 0.377096 | 2.9755 % | 6.967630 | 60.444132 | 8.422 |
| 010112 | 21国债(12) | 100.350 | 100.360 | 0.060 | 103.142603 | 2.782603 | 2.9702 % | 4.530121 | 26.240859 | 5.090 |
| 010110 | 21国债(10) | 99.930 | 100.010 | 0.080 | 100.034247 | 0.024247 | 2.9460 % | 4.581137 | 26.159416 | 4.995 |
| 101998 | 国债998 | 100.990 | 100.990 | 0.280 | 101.035206 | 0.045206 | 2.9458 % | 2.811905 | 10.778742 | 2.989 |
| 010511 | 05国债(11) | 96.950 | 96.990 | 0.040 | 99.001014 | 2.011014 | 2.9346 % | 3.743455 | 18.208103 | 4.063 |
| 100307 | 国债0307 | 99.100 | 99.100 | 0.000 | 99.384219 | 0.284219 | 2.9047 % | 3.636660 | 17.077760 | 3.896 |
| 010210 | 02国债(10) | 98.700 | 98.720 | 0.060 | 99.001562 | 0.281562 | 2.8549 % | 2.736812 | 10.257028 | 2.885 |
| 009908 | 99国债(8) | 101.200 | 101.290 | 0.080 | 101.335206 | 0.045206 | 2.8404 % | 2.814935 | 10.801588 | 2.989 |
| 010509 | 05国债(9) | 99.990 | 100.000 | 0.000 | 100.263616 | 0.263616 | 2.8280 % | 5.360057 | 35.189241 | 5.910 |
| 100115 | 国债0115 | 100.380 | 100.380 | -0.010 | 102.714247 | 2.334247 | 2.8141 % | 2.079846 | 6.478175 | 2.225 |
| 010505 | 05国债(5) | 103.000 | 103.000 | 0.000 | 104.163343 | 1.163343 | 2.7857 % | 5.056933 | 31.906347 | 5.658 |
| 100407 | 国债0407 | 108.800 | 108.800 | 0.000 | 109.238740 | 0.438740 | 2.7646 % | 4.379088 | 24.452552 | 4.910 |
| 101903 | 国债903 | 100.700 | 100.750 | 0.050 | 102.156548 | 1.406548 | 2.7630 % | 1.499653 | 3.737193 | 1.573 |
| 010115 | 21国债(15) | 100.460 | 100.550 | 0.090 | 102.884247 | 2.334247 | 2.7346 % | 2.081558 | 6.488567 | 2.225 |
| 010311 | 03国债(11) | 100.700 | 103.060 | -0.640 | 106.061370 | 3.001370 | 2.7057 % | 3.724263 | 18.317723 | 4.145 |
| 010410 | 04国债(10) | 110.470 | 110.480 | 0.010 | 114.567726 | 4.087726 | 2.6559 % | 4.431764 | 25.755484 | 5.162 |
| 010307 | 03国债(7) | 100.080 | 100.220 | -0.010 | 100.504219 | 0.284219 | 2.5970 % | 3.648545 | 17.186253 | 3.896 |
| 010103 | 21国债(3) | 100.990 | 101.050 | 0.000 | 102.456548 | 1.406548 | 2.5677 % | 1.502566 | 3.751615 | 1.573 |
| 010301 | 03国债(1) | 100.310 | 100.360 | 0.050 | 101.970575 | 1.610575 | 2.5433 % | 3.164366 | 13.417225 | 3.397 |
| 010215 | 02国债(15) | 101.160 | 101.160 | 0.060 | 103.536110 | 2.376110 | 2.5425 % | 2.950559 | 11.927938 | 3.192 |
| 010503 | 05国债(3) | 102.290 | 102.590 | 0.180 | 103.991370 | 1.401370 | 2.5282 % | 3.309799 | 14.562723 | 3.578 |
| 010404 | 04国债(4) | 110.000 | 110.270 | 0.190 | 111.958055 | 1.688055 | 2.5192 % | 4.134133 | 22.162911 | 4.658 |
| 010508 | 05国债(8) | 98.950 | 98.950 | -0.030 | 99.182658 | 0.232658 | 2.5038 % | 1.817643 | 5.094845 | 1.882 |
| 010407 | 04国债(7) | 109.510 | 110.200 | 0.400 | 110.638740 | 0.438740 | 2.4743 % | 4.394441 | 24.612627 | 4.910 |
| 010214 | 02国债(14) | 100.100 | 100.180 | 0.030 | 102.641233 | 2.461233 | 2.4691 % | 1.022944 | 2.068622 | 1.074 |
| 010514 | 05国债(14) | 99.110 | 99.230 | -0.010 | 100.606027 | 1.376027 | 2.3928 % | 1.171111 | 2.531464 | 1.216 |
| 101995 | 国债995 | 100.780 | 100.780 | 0.000 | 101.130466 | 0.350466 | 2.3754 % | 0.875103 | 1.620603 | 0.896 |
| 100403 | 国债0403 | 105.370 | 105.000 | 0.780 | 106.949644 | 1.949644 | 2.3750 % | 2.383620 | 8.189583 | 2.562 |
| 010507 | 05国债(7) | 99.400 | 99.400 | 0.010 | 99.724658 | 0.324658 | 2.3391 % | 0.779038 | 1.368133 | 0.797 |
| 010408 | 04国债(8) | 105.720 | 105.730 | -0.020 | 109.770822 | 4.040822 | 2.3348 % | 2.767259 | 10.828649 | 3.063 |
| 010004 | 20国债(4) | 101.020 | 101.070 | -0.080 | 101.981781 | 0.911781 | 2.2873 % | 0.637474 | 1.029592 | 3.652 |
| 010403 | 04国债(3) | 105.500 | 105.500 | -0.040 | 107.449644 | 1.949644 | 2.1795 % | 2.388532 | 8.222430 | 2.562 |
| 010010 | 20国债(10) | 100.360 | 100.350 | -0.020 | 102.406110 | 2.056110 | 2.0357 % | 0.128883 | 0.142923 | 1.132 |
| 009905 | 99国债(5) | 101.110 | 101.200 | 0.000 | 101.550466 | 0.350466 | 1.9029 % | 0.879161 | 1.635667 | 0.896 |
| 010411 | 04国债(11) | 100.170 | 100.230 | 0.010 | 102.573178 | 2.343178 | 1.8457 % | 0.212516 | 0.253828 | 0.216 |
| 101973 | 国债973 | 106.820 | 107.500 | -0.120 | 108.116274 | 0.616274 | 1.6383 % | 0.924578 | 1.764520 | 0.940 |
| 009704 | 97国债(4) | 108.880 | 108.790 | 0.000 | 109.406274 | 0.616274 | 0.3635 % | 0.936322 | 1.809630 | 0.940 |
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。 |
