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现有久期的概念建立在单一利率假定的基础上,无法正确地衡量利率期限结构变动情景下债券价格的变化情况。本文引入的矢量久期的概念,通过添加趋势向量,扩展了现有久期的应用范围,适用于利率期限结构发生不同形状变动后债券价格变动的测量。
The concept of the existing duration is based on the assumption of a single interest rate and can not correctly measure changes in the price of bonds under the changing term structure of interest rates. The concept of vector duration introduced in this paper extends the scope of application of the existing duration by adding trend vectors and is suitable for the measurement of bond price changes after different shapes of interest rate maturity structure.