EXCEL：财政金融建模Problems 21.xlsVIP

Exercise 5 (中文) Exercise 5 Exercise 4 (中文) Exercise 4 Exercise 3 (中文) Exercise 3 Exercise 2 (中文) VBA, dduration function Exercise 2 Exercise 1 (中文) Exercise 1 dduration Coupon rate Maturity Face value Duration Target duration See Chapter 21.xls BASIC IMMUNIZATION EXAMPLE WITH 3 BONDS Yield to maturity Bond 1 Bond 2 Bond 3 Bond price Face value equal to $1,000 of market value New yield to maturity Reinvested coupons Total Multiply by percent of face value bought Product Weight of Bond 1 Weight of Bond 2 Weight of Bond 3 Both these portfolios have the target duration. Bond 12 portfolio Bond 13 Portfolio Data table -- Table header For hedging/immunization, the Bond 1 2 portfolio is preferred (the payoffs over a wide range of interest rates are flatter). When the duration is 12, you would prefer the bond 13 portfolio. YTM Year Ct,A Ct,B =NPV(B3,B6:B15) =SUM(F6:F15) Note: This is not a proof, but it explains the logic Proportion of bond A in portfolio Proportion of bond B in portfolio t*Ct,A /(PA*(1+YTM)t) t*Ct,B /(PB*(1+YTM)t) t*Ct,Port /(PPort*(1+YTM)t) Weighted portfolio durations Dollar amount of A purchased Dollar amount of B purchased Percentage of face value of A purchased Percentage of face value of B purchased Total investment in bonds Note that because we purchase $700 of bond B, which costs $1421, were only purchasing 49.25% of the bonds face value. -- Note that eachindividual term is theweighted average ofthe terms in C14 andF14. -- =C25*B6+F25*B7 t*Ct,A /(PA*(1+YTM)t) t*Ct,B /(PB*(1+YTM)t) t*Ct,Port /(PPort*(1+YTM)t) 注意: 这不是严格的证明，但可以显示本题目逻辑的正确性 到期收益率 债券组合的总投资额 债券 A 在组合中所占的比例 债券 B 在组合中所占的比例 购买债券 A 的费用 购买债券 B 的费用 购买的债券 A 的面值在组合中所占比例 购买的债券 B 的面值在组合中所占比例 年 债券价格 久期 加权的资产组合久期 注意：尽管我们买了$700的债券 B,但其面值只占资产组合面值的49.25%。 参看 Chapter 21.xls 3 个债券的免疫案例 债券1 债券2 债券3 戏票利率 成熟期 面值 等于$1,000市场价值的面值 目标久期 债券1所占比例 这两种组合 债券3所占比例 都具有我们要求的目标久期 债券2所占比例 新的到期收益率 戏票再投资 总计 的组合 为了对冲 / 免疫的目的，债券1与2的组合要好一些 债券1与3 债券1与2 (其支付在利率的波动范围内显得更加平坦）。 当久期为12时，你应选债券1与3的组合。 乘以购买的面值占$1,