債券久期計算模型(excel)

1、債債券券久久期期基基礎(chǔ)礎(chǔ)實實際際年年利利率率（EffectiveEffective AnnualAnnual RateRate）說明：本模板用三種方法來計算久期輸輸入入利率慣例:0 = APR，1=EAR1年息票率5.0%到期收益率9.0%年付息次數(shù)2距到期的時期數(shù)8面值（元）1000輸輸出出每期的貼現(xiàn)率4.4%每次支付的利息25.00用用現(xiàn)現(xiàn)金金流流計計算算債債券券久久期期第n期012345678時長（年）0.00.51.01.52.02.53.03.54.0小計現(xiàn)金流25.0025.0025.0025.0025.0025.0025.001025.00現(xiàn)金流的現(xiàn)值23.9522.9421.9

2、721.0420.1519.3018.49726.14873.98權(quán)重2.7%2.6%2.5%2.4%2.3%2.2%2.1%83.1%100.0%權(quán)重*時長0.010.030.040.050.060.070.073.323.65久期3.65修正的久期3.49用用公公式式計計算算債債券券久久期期久期3.65修正的久期3.49用用DURATION函函數(shù)數(shù)計計算算久久期期（在在APR慣慣例例下下）久期修正的久期債債券券久久期期用用久久期期計計算算價價格格敏敏感感性性年年比比例例利利率率（AnnualAnnual PercentagePercentage RateRate）輸輸入入利率慣例:0 =

3、APR，1=EAR0年息票率8.0%到期收益率8.0%年付息次數(shù)2距到期的時期數(shù)8面值（元）1000輸輸出出每期的貼現(xiàn)率4.0%每次支付的利息40.00圖圖形形輸輸出出到期收益率1.0%2.0%3.0%4.0%5.0%6.0%7.0%每期貼現(xiàn)率0.5%1.0%1.5%2.0%2.5%3.0%3.5%到期收益率的變動-7.0%-6.0%-5.0%-4.0%-3.0%-2.0%-1.0%債券價值1274123011871147110810701034當(dāng)前債券價格1000100010001000100010001000債券價格的變動率27.4%23.0%18.7%14.7%10.8%7.0%3.4%

4、修正的久期3.373.373.373.373.373.373.37用久期近似計算的價格變動率23.6%20.2%16.8%13.5%10.1%6.7%3.4%用用久久期期計計算算價價格格敏敏感感性性15.0%10.0%5.0%0.0%-5.0%-10.0%-50%-40%-30%-20%-10%0%10%20%30%40%到到期期收收益益率率的的變變動動價價格格變變動動比比例例債券價格的變動率用久期近似計算的價格變動率8.0%9.0% 10.0% 11.0%12.0%13.0%14.0%15.0%16.0%17.0%18.0%19.0%4.0%4.5%5.0%5.5%6.0%6.5%7.0%7

5、.5%8.0%8.5%9.0%9.5%0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%8.0%9.0%10.0%11.0%10009679359058768488217957707467237011000100010001000100010001000100010001000100010000.0% -3.3%-6.5%-9.5%-12.4%-15.2%-17.9%-20.5%-23.0%-25.4%-27.7%-29.9%3.373.373.373.373.373.373.373.373.373.373.373.370.0% -3.4%-6.7% -10.1%-13.5%-1

6、6.8%-20.2%-23.6%-26.9%-30.3%-33.7%-37.0%年年比比例例利利率率（AnnualAnnual PercentagePercentage RateRate）用用久久期期計計算算價價格格敏敏感感性性15.0%10.0%5.0%0.0%-5.0%-10.0%-50%-40%-30%-20%-10%0%10%20%30%40%到到期期收收益益率率的的變變動動價價格格變變動動比比例例債券價格的變動率用久期近似計算的價格變動率20.0%10.0%12.0%6801000-32.0%3.37-40.4%債債券券凸凸性性動動態(tài)態(tài)圖圖年年比比例例利利率率（AnnualAnnua

7、l PercentagePercentage RateRate）輸輸入入利率慣例:0 = APR，1=EAR00年息票率5.0%10到期收益率2.5%5年付息次數(shù)22輸輸出出每期的貼現(xiàn)率1.3%動動態(tài)態(tài)圖圖輸輸出出到期時間(年）123456789距到期期數(shù)24681012141618附息票債券的久期0.991.932.833.694.525.316.086.817.53平價債券的久期1.002.003.004.005.006.007.008.009.00債債券券久久期期的的動動態(tài)態(tài)圖圖302520151050051015202530到到期期時時間間（年年）久久期期（年年）10111213141516171819202122202224262830323436384042448.218.889.5210.1510.7511.3411.9112.4713.0113.5414.0514.5515.0410.0011.0012.0013.0014.0015.0016.0017.0018.0019.0020.0021.0022.00年年比比例例利利率率（AnnualAnnual PercentagePercentage RateRate）債債券券久久期期的的動動態(tài)態(tài)圖圖302520151050051015202530到到期期時時間間