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小晏 asked in 商業與財經投資 · 1 decade ago

債務市場(麻煩財金高手幫忙解答)謝謝^^

麻煩財金高手幫忙解答,謝謝^^

修正存續期間即當利率微小變動時,債券價格變動的幅度。但進一步求算當利率微小變動時,債券價格變動的金額,即價格存續期間(Dollar Duration),其計算公式如下:

Ddol表示價格存續期間。

假設某一3年期零息債券,面額100元,殖利率為6%,殖利率下降10個BP(0.1%),則此債券存續期間(Dmac)?修正存續期間(Dmod)?價格變動幅度?價格存續期間(Ddol)?價格變動金額?

假設某一3年期債券,面額100元,票面利率8%,殖利率為6%, 半年付息一次,殖利率下降10個BP(0.1%),則此債券存續期間(Dmac)?修正存續期間(Dmod)?價格變動幅度?價格存續期間(Ddol)?價格變動金額?

1 Answer

Rating
  • 1 decade ago
    Favorite Answer

    1)

    存續期間:3年

    修正存續期間:3/(1+6%) = 2.83年

    債券價格由83.96 ->84.2

    價格變動幅度:(84.2-83.96)/83.96 = 0.2836%

    價格存續期間:莫宰羊

    價格變動金額:84.2 - 83.96 = 0.24

    2)

    存續期間:

    =duration(DATE(2007,11,7),DATE(2010,11,7),8%,8%,2) = 2.7259111

    修正存續期間:

    =mduration(DATE(2007,11,7),DATE(2010,11,7),8%,8%,2) = 2.621068

    債券價格由100 ->100.262534

    價格變動幅度:=(100.262534-100)/100 = 0.2625%

    價格存續期間:莫宰羊

    價格變動金額:=100.262534 -100 = 0.262534

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