证券投资学之债券定价与风险管理(ppt 75页).ppt

* Duration Duration 在固定收益投资组合管理中的作用 测量证券组合有效平均到期日的统计量 度量证券组合对利率的敏感度（定量刻画） an essential tool in immunizing portfolios from interest rate risk * Duration 和股票价格变化之间的关系 这里 表示债券价格的变化 是债券的初始价格 是到期收益的变化 是初始的到期收益 * 例子 Bond : coupon rate 8%, yield to maturity 8%, par value 1000, price 1000, duration 10 when yield to maturity 8% 9% * What determines duration? * Rule for duration 1.零息债券的duration等于其到期日 2.到期日保持不变，息率越低， duration越高 3.息率不变，到期日越大， duration一般越大。对等价或者溢价发行的债券，上述关系总是成立 4.别的因素不变，到期收益越低，带息债券的duration越高。 * Rules for Duration (cont’d) 5.永久性现金流的duration为 到期日与duration的差别 当到期日越来越大时， duration接近于相应永久性现金流的duration 注意支付时间单位与利率之间的一致性 * Rules for Duration (cont’d) Rule 6 The duration of a level annuity is equal to: * The modified duration 3、Convexity * 仅仅只需Duration就够了吗？ As a measure of interest rate sensitivity, duration clearly is a key tool in fixed income portfolio management. The duration rule for the impact of interest rates on bond prices is only an approximation. * Yield Price Duration Pricing Error from convexity Duration and Convexity * The duration rule is a good approximation for small changes in bond yield, but it is less accurate for larger changes. The duration approximation always understates the value of the bond, it underestimates the increase in bond price when the yield falls, and it over estimates the decline in price when the yield rises. The curvature of the price yield curve is called the convexity of the bond. * As a practical rule, we can view bonds with higher convexity as exhibiting higher curvature in the price yield relationship. Convexity allows us to improve the duration approximation for bond price changes. * Correction for Convexity Correction for Convexity: * The convexity is more important as a practical matter when potential interest rate changes are large. * 例子： A 30-year maturity, an 8% coupon, and sells at an initial yield to maturity of 8%. The bond sells at par value, $1000.