持期匹配及隐含期权条件下的持期计算  

Duration Matching and Its Calculation for Bond with Embedded Option

作　　者：王海艳[1] 张庆洪[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《同济大学学报（自然科学版）》2003年第12期1486-1489,共4页Journal of Tongji University:Natural Science

摘　　要：从持期的含义出发 ,揭示了持期是表示债券价值关于“1 +利息率”的点弹性 ,并介绍了Redington关于持期匹配的基本模型及其严格的假设前提 .针对Redington模型关于利率结构与现金流相互独立的假设 。This paper gives out the interpretation of duration as the elasticity of the bond value with respect to 1+yield per period,then introduces Redington's basic model of duration matching,which is based on very strict hypothesis.Against one of his premises,that is,the term structure and the cash flows are independent with each other,the paper describes the calculation of the adjusted duration in the case of callable bond with embedded option.

关 键 词：持期匹配 Redington模型 隐含期权 资产负债管理 

分 类 号：F830.91[经济管理—金融学]