查看评论 | 数据日期：2006-10-09 |
| 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 | 109.220 | 108.700 | 0.250 | 109.528658 | 0.828658 | 3.5310 % | 10.842193 | 150.263036 | 14.808 |
| 010107 | 21国债(7) | 109.350 | 109.110 | -0.240 | 109.938658 | 0.828658 | 3.4966 % | 10.853459 | 150.501426 | 14.808 |
| 010303 | 03国债(3) | 99.400 | 99.260 | -0.230 | 100.899452 | 1.639452 | 3.4882 % | 12.129269 | 187.406738 | 16.521 |
| 100303 | 国债0303 | 98.850 | 99.270 | 0.060 | 100.909452 | 1.639452 | 3.4874 % | 12.129598 | 187.414323 | 16.521 |
| 010512 | 05国债(12) | 102.180 | 102.250 | -0.200 | 103.730000 | 1.480000 | 3.4747 % | 10.658282 | 143.414177 | 14.101 |
| 010504 | 05国债(4) | 109.080 | 109.100 | 0.000 | 110.766521 | 1.666521 | 3.4717 % | 12.799555 | 215.104114 | 18.597 |
| 100213 | 国债0213 | 91.020 | 93.350 | -0.300 | 93.492466 | 0.142466 | 3.3568 % | 9.215583 | 101.770564 | 10.948 |
| 010213 | 02国债(13) | 94.100 | 94.200 | 0.000 | 94.342466 | 0.142466 | 3.2587 % | 9.232109 | 102.073187 | 10.948 |
| 010603 | 06国债(03) | 97.400 | 97.000 | -0.430 | 97.099726 | 0.099726 | 3.1948 % | 8.091121 | 78.741076 | 9.463 |
| 100503 | 国债0503 | 100.480 | 100.410 | -0.570 | 101.919863 | 1.509863 | 3.1693 % | 3.254934 | 14.129857 | 3.545 |
| 100203 | 国债0203 | 97.000 | 96.900 | -0.260 | 98.117808 | 1.217808 | 3.1570 % | 4.998670 | 30.986320 | 5.523 |
| 101912 | 国债912 | 99.500 | 99.500 | -0.020 | 102.382877 | 2.882877 | 3.1561 % | 4.487629 | 25.811705 | 5.058 |
| 010308 | 03国债(8) | 99.530 | 99.360 | -0.170 | 99.550301 | 0.190301 | 3.1222 % | 6.158815 | 46.013402 | 6.940 |
| 100501 | 国债0501 | 110.000 | 110.000 | -0.880 | 110.523069 | 0.523069 | 3.0979 % | 6.921184 | 59.757819 | 8.389 |
| 010513 | 05国债(13) | 99.300 | 100.000 | 0.100 | 102.630658 | 2.630658 | 3.0076 % | 5.382337 | 36.295794 | 6.129 |
| 101998 | 国债998 | 100.820 | 100.820 | -0.430 | 100.973699 | 0.153699 | 3.0020 % | 2.778372 | 10.557205 | 2.956 |
| 010601 | 06国债(01) | 97.200 | 97.200 | 0.150 | 98.747260 | 1.547260 | 2.9955 % | 5.712304 | 40.023134 | 6.386 |
| 010203 | 02国债(3) | 97.600 | 97.700 | -0.100 | 98.917808 | 1.217808 | 2.9948 % | 5.008418 | 31.098372 | 5.523 |
| 010501 | 05国债(1) | 111.100 | 111.150 | -0.030 | 111.673069 | 0.523069 | 2.9486 % | 6.938901 | 60.015863 | 8.389 |
| 010112 | 21国债(12) | 100.180 | 100.500 | -0.130 | 103.382877 | 2.882877 | 2.9398 % | 4.499918 | 25.939568 | 5.058 |
| 010110 | 21国债(10) | 100.100 | 100.220 | -0.190 | 100.341233 | 0.121233 | 2.8996 % | 4.551586 | 25.862549 | 4.962 |
| 010511 | 05国债(11) | 97.320 | 97.310 | -0.080 | 99.391370 | 2.081370 | 2.8543 % | 3.714864 | 17.969490 | 4.030 |
| 101903 | 国债903 | 100.650 | 100.600 | -0.250 | 102.114055 | 1.514055 | 2.8525 % | 1.466358 | 3.604773 | 1.540 |
| 100210 | 国债0210 | 98.500 | 98.800 | 0.250 | 99.160137 | 0.360137 | 2.8299 % | 2.705530 | 10.057018 | 2.852 |
| 010509 | 05国债(9) | 100.000 | 100.000 | 0.000 | 100.356658 | 0.356658 | 2.8278 % | 5.328097 | 34.816578 | 5.877 |
| 100115 | 国债0115 | 100.260 | 100.360 | -0.140 | 102.792877 | 2.432877 | 2.8213 % | 2.047716 | 6.314167 | 2.192 |
| 010210 | 02国债(10) | 98.550 | 98.890 | -0.110 | 99.250137 | 0.360137 | 2.7964 % | 2.706448 | 10.063749 | 2.852 |
| 009908 | 99国债(8) | 101.110 | 101.400 | -0.080 | 101.553699 | 0.153699 | 2.7961 % | 2.784228 | 10.600983 | 2.956 |
| 010505 | 05国债(5) | 103.000 | 103.200 | 0.200 | 104.474137 | 1.274137 | 2.7444 % | 5.027551 | 31.582713 | 5.625 |
| 010115 | 21国债(15) | 100.600 | 100.660 | -0.050 | 103.092877 | 2.432877 | 2.6791 % | 2.050737 | 6.332311 | 2.192 |
| 010410 | 04国债(10) | 110.600 | 110.440 | -0.200 | 114.687507 | 4.247507 | 2.6517 % | 4.399991 | 25.444025 | 5.129 |
| 010307 | 03国债(7) | 99.730 | 100.290 | -0.010 | 100.661671 | 0.371671 | 2.5771 % | 3.617269 | 16.929186 | 3.863 |
| 010311 | 03国债(11) | 103.470 | 103.560 | 0.100 | 106.676438 | 3.116438 | 2.5730 % | 3.698121 | 18.102095 | 4.112 |
| 010103 | 21国债(3) | 101.080 | 101.060 | -0.100 | 102.574055 | 1.514055 | 2.5464 % | 1.470823 | 3.626588 | 1.540 |
| 010215 | 02国债(15) | 101.400 | 101.140 | -0.250 | 103.612438 | 2.472438 | 2.5455 % | 2.918401 | 11.707760 | 3.159 |
| 010407 | 04国债(7) | 109.250 | 109.800 | -0.400 | 110.393589 | 0.593589 | 2.5436 % | 4.358708 | 24.262508 | 4.877 |
| 100214 | 国债0214 | 100.110 | 100.120 | 0.010 | 102.668356 | 2.548356 | 2.5233 % | 0.990322 | 1.970584 | 1.041 |
| 010503 | 05国债(3) | 101.720 | 102.660 | 0.050 | 104.169863 | 1.509863 | 2.5009 % | 3.278709 | 14.328389 | 3.545 |
| 010404 | 04国债(4) | 110.500 | 110.500 | -0.010 | 112.348822 | 1.848822 | 2.4543 % | 4.105340 | 21.899762 | 4.625 |
| 010301 | 03国债(1) | 100.300 | 100.670 | 0.350 | 102.368027 | 1.698027 | 2.4455 % | 3.135605 | 13.210818 | 3.364 |
| 010214 | 02国债(14) | 100.380 | 100.250 | -0.140 | 102.798356 | 2.548356 | 2.3956 % | 0.991588 | 1.975564 | 1.041 |
| 010408 | 04国债(8) | 105.490 | 105.600 | -0.200 | 109.782192 | 4.182192 | 2.3588 % | 2.734380 | 10.615024 | 3.030 |
| 100411 | 国债0411 | 100.100 | 100.100 | -0.380 | 102.541151 | 2.441151 | 2.3538 % | 0.179340 | 0.207379 | 0.184 |
| 101995 | 国债995 | 100.700 | 100.800 | 0.000 | 101.258301 | 0.458301 | 2.3171 % | 0.843469 | 1.535808 | 0.863 |
| 010004 | 20国债(4) | 101.030 | 101.120 | -0.130 | 102.117260 | 0.997260 | 2.2701 % | 0.605434 | 0.958546 | 3.619 |
| 010403 | 04国债(3) | 105.500 | 105.500 | -0.130 | 107.594959 | 2.094959 | 2.1522 % | 2.357035 | 8.042768 | 2.529 |
| 009905 | 99国债(5) | 101.290 | 101.080 | -0.210 | 101.538301 | 0.458301 | 1.9903 % | 0.846173 | 1.545668 | 0.863 |
| 010010 | 20国债(10) | 100.350 | 100.400 | -0.040 | 102.533699 | 2.133699 | 1.9804 % | 0.096715 | 0.104190 | 1.099 |
| 010507 | 05国债(7) | 98.560 | 99.700 | 0.280 | 100.076603 | 0.376603 | 1.9698 % | 0.749617 | 1.297062 | 0.764 |
| 101973 | 国债973 | 109.900 | 107.660 | -0.090 | 108.597808 | 0.937808 | 1.2011 % | 0.896087 | 1.688423 | 0.907 |
| 010411 | 04国债(11) | 100.560 | 100.320 | -0.020 | 102.761151 | 2.441151 | 1.1657 % | 0.181447 | 0.212279 | 0.184 |
| 009704 | 97国债(4) | 108.500 | 108.650 | -0.390 | 109.587808 | 0.937808 | 0.1934 % | 0.905099 | 1.722555 | 0.907 |
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。 |
