利率风险及隐含期权调整后的久期计算  

Interest Rate Risk and Calculation for Bond with Embedded Option

作　　者：唐恩林[1] 

机构地区：[1]淮南师范学院经济与管理学院

出　　处：《滁州学院学报》2014年第2期18-20,共3页Journal of Chuzhou University

摘　　要：从阐述传统麦考莱久期的含义开始,揭示了传统麦考莱久期在放松利率期限结构和现金流相互独立的假设下无法有效准确的衡量金融工具的现值。同时基于Redington模型对于利率期限结构独立于现金流的假设,给出了隐含期权条件下的久期计算方法。This paper expounds the meaning of the traditional Macaulay duration .Relaxing the assumption of the term structure of interest rate independent with cash flow ,the traditional Macaulay duration cannot effectively and accurately measure the value of financial instruments .At the same time ,based on the assumption of the term structure of interest rate independent with cash flow ,this paper gives the method of calculation for bond with embedded option .

关 键 词：Redington模型 隐含期权 资产负债管理 

分 类 号：F830[经济管理—金融学]