关于债券组合久期计算的改进方法  

An Improved Method to Calculate Duration of a Bond Portfolio

作　　者：刘燕武[1] 

机构地区：[1]武汉理工大学管理学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2008年第1期140-142,共3页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(60574070)

摘　　要：分析了实践中最常用计算债券组合久期方法的不足,通过有效地应用泰勒展开式得到了计算债券组合久期的改进方法。该方法在计算债券组合久期时,只需知道债券组合中各种债券的收益率、权重、久期和凸性等信息。数字实验表明,该方法的计算精度明显优于常用方法,而且还具备很好的实用性。The deficiency of the most commonly used measurement of the bond portfolio＇s duration was analyzed, and its improved measurement was also derived by using the Taylor＇s series which only need the information about the yield, weight, duration and convexity of each bond in the portfolio. The numerical experiments demonstrate that the new method is remarkably better in calculating precision than the most commonly - used methods and it is very practical.

关 键 词：债券组合 久期 债券凸性 

分 类 号：F830.91[经济管理—金融学]