《金融风险管家理》第章 利率风险和管理（下）.pptVIP

复习 重定价缺口（敏感型资金缺口）管理 到期日期限缺口管理 Macaulay计算的matlab实现 [ModDuration, YearDuration, PerDuration] = bnddury(Yield,CouponRate, Settle, Maturity, Period, Basis, EndMonthRule,IssueDate, FirstCouponDate, LastCouponDate, StartDate, Face) 用法解释 Matlab计算 Yield = 0.08; CouponRate = 0.10; Settle = 01-Jan-2009; Maturity = 01-Jan-2012; Period = 1; Basis = 0; [ModDuration,YearDuration,PerDuration]=bnddury(Yield,CouponRate, Settle, Maturity, Period, Basis) Matalab实现 Yield = 0.12; CouponRate = 0.10; Settle = 01-Jan-2009; Maturity = 01-Jan-2011; Period = 2; Basis = 0; [ModDuration,YearDuration,PerDurat