第16章 债券资产组合的管理 Managing Bond Portfolios 16-1
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债券资产组合的管理 Managing Bond portfolios 161利率风险 16.2凸性 16.3消极的债券管理 16.4积极的债券管理 16.5利率互换 16.6金融工程与衍生利率
16-2 16.1 利率风险 16.2 凸性 16.3 消极的债券管理 16.4 积极的债券管理 16.5 利率互换 16.6 金融工程与衍生利率
Managing Fixed Income Securities: Basic Strategies ■积极策略 Active strategy 根据利率预测来交易 Trade on interest rate predictions 根据市场价格失衡信息来交易 Trade on market inefficiencies ■消极策略 Passive strategy 控制风险 Control risk 平衡风险和收益 Balance risk and return 16-3
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债券价格关系 Bond Pricing Relationships ■价格和收益是反向关系 Inverse relationship between price and yield ■债券到期收益率的增长会导致价格下降的幅度低于与 收益的等规模减少相联系的价格上升的幅度 An increase in a bond's yield to maturity results in a smaller price decline than the gain associated with a decrease in yield ■长期债券比短期债券更具价格敏感性 Long- term bonds tend to be more price sensitive than short-term bonds 16-4
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债券价格关系 Bond Pricing Relationships(cont'd 到期收益率增长时,价格对收益变化的敏感性以 降的比率增加, As maturity increases, price sensitivity increases at a decreasing rate ■价格对收益变化的敏感性与债券的息票率有一反向关 系 Price sensitivity is inversely related to a bonds coupon rate. ■债券价格对收益变化的敏感性与该债券销售的到期收 益率承负相关关系 Price sensitivity is inversely related to the yield to maturity at which the bond is selling 16-5
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久期 Duration 种测量债券有效期限的方法 A measure of the effective maturity of a bond 每次利息或本金的支付时间的加权平均,权重应与 每次支付的现值相联系 The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment ■除了零息债券,久期短于债券的到期日 Duration is shorter than maturity for all bonds except zero coupon bonds 久期等于零息债券的到期日 Duration is equal to maturity for zero coupon bonds 16-6
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久期:计算 Duration Calculation WI=CF, /(1+y)'/Pr rice D=∑t×1 t=1 CFt= Cash Flow for period t Y=债券的到期收益Wt=权重 D=久期 CFt=t时的现金流 t=时间 16-7
16-7 t t t w CF (1 y ) Price D t w t T t 1 CF t Cash Flow for period t Y=债券的到期收益 W t = 权重 D=久期 CF t = t 时的现金流 t=时间
久期:计算 Duration Calculation 2 (3) 5 名称 至支付的 支付/美元半年5%折现权重 (1)×(4) 时间/年 支付美元 债券A 8%债券 0.5 40 38.095 0.0395 0.0198 1.0 36.281 0.0376 0.0376 34.553 0.0358 0.0537 2.0 1040 855.611 0.8871 1.7742 总计 964.540 1.0000 1.8853 债券B 零息票债券0.5-1.5 0 2.0 1000 822.70 2 总计 822.70 1.0
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久期:计算 Duration Calculation B C D G Time until PV of CF Column(c) Payment (Discount rate times Period(Years) Cash Flow 5% per period) Weight Column(F) 4 A.8% coupon bond 0.5 40 38095 0.0395 0.0197 10 40 36.281 0.0376 0.0376 34.554 0.0358 0.0537 1040 855611 08871 1.7741 964.540 0000 1852 10 BZero-coupon 0.5 000 00000 0.0000 0.000 0.0000 0.0000 315 0.000 0.0000 0.0000 4201002202 1.0000 2.0000 822.702 1.0000 2.0000 16 Semiannual int rate: 0.05 T 18 Weight =Present value of each payment column E) divided by the bond price
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久期/价格关系 Duration/Price Relationship 价格变化与久期成比例而与到期日无关 Price change is proportional to duration and not to maturity △PP=-DX[△(1+y)/(1+y) D’=修正久期 modified duration D=D/(1+y) △PP=-Dx△y 16-10
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