债券定价模型债券价格随市场利率的变化
债券名称21国债（7）市场利率债券价格
结算日2017/12/2102.5701069
到期日2021/7/210.02107.8858618
年息票利率0.04260.03104.306798
到期收益率0.0350.035102.5701069
作为面值百分比的赎回价值1000.04100.8675964
年息票支付次数20.042699.99554592
0.04599.19850607
0.0597.56209415
0.0694.38442931
净价（面值的百分比）102.57010690.0791.32902448
距上次付息的天数1310.0888.39057175
息票期间内的天数1800.0985.56401846
应计利息 1.5501666670.182.84455377
全价104.1202735
到期收益率计算模型到期收益债券名称1800210512101071921510303
结算日2017/12/92017/12/92017/12/92017/12/92017/12/9
到期日2019/1/32020/11/152021/7/212022/8/232023/4/17
年息票利率0.05840.03650.04260.0390.034
债券价格101.52101.479102.5798.496.162
作为面值百分比的赎回价值100100100100100
年息票支付次数12222
距到期日天数3901072132017181955
到期收益率0.0434339950.0311788490.03496360.042778210.042071187
久期计算
债券名称21国债（7）结算日2017/12/9到期日2021/7/21年息票利率0.0426到期收益率0.035作为面值百分比的赎回价值100年息票支付次数2价格102.5701069久期 3.34121374修正久期 3.283748147
思考题：债券的价格随着市场利率的升高而降低，债券价格与到期收益率呈反比，债券的到期时间与债券价格成正向变动关系。长期债券的价格变动幅度大于短期债券，长期债券对市场利率比较敏感，变动幅度较大，潜在收益和风险较大。债券息票率与债券价格呈反向变动关系。收益率曲线准确度不高，代表性不强，应该选择更具有代表性的国债来描绘到期收益率曲线，或者选择更多
马凯尔债券定理
假定市场利率0.0426
利率变化百分比价格变化百分比
-53.051643197.890667358-53.0516424.92533-53.051622.77677 -29.57746479 4.311444154-29.5774612.95551-29.577511.87421 -17.84037559 2.574675614-17.840387.552038-17.8404 6.932029 -6.1032863850.872089306-6.103286 2.49831-6.10329 2.296596 000000
5.633802817-0.797075354 5.6338028-2.23135.633803-2.05416
17.37089202-2.43356016417.370892-6.660417.37089-6.14058
40.84507042-5.6113665440.84507-14.702440.84507-13.594
64.31924883-8.66690746964.319249-21.782164.31925-20.1968
87.79342723-11.6054910987.793427-28.031187.79343-26.0626
111.2676056-14.43217028111.26761-33.5616111.2676-31.2884
134.741784-17.1517561134.74178-38.4693134.7418-35.957
期收益率曲线
193111050418003
2017/12/92017/12/92017/12/9
2023/5/232025/5/152029/4/15
0.0380.04110.0585
97.99101.01109.9
100100100
221
199127144145
0.0421594630.0395150370.0470103
-53.051623.85903 -29.577512.39793 -17.84047.226645 -6.10329 2.390664
00 5.633803-2.13526 17.37089-6.3743 40.84507-14.0751 64.31925-20.8621 87.79343-26.8624 111.2676-32.1838 134.7418-36.9177