| 债券的利率敏感性测量 |
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| 引用本文： | 白随平,张树斌,姚立. 债券的利率敏感性测量[J]. 数学的实践与认识, 2004, 34(3): 46-50 |
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| 作者姓名： | 白随平 张树斌 姚立 |
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| 作者单位： | 河北经贸大学数学与统计学学院,石家庄,050061 |
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| 摘 要： | 基于中国债券市场研究了固定利率和浮动利率债券的利率敏感性度量 :久期和凸性 .
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| 关 键 词： | 利率敏感性 久期 凸性 |
| 修稿时间： | 2003-12-19 |
The Interest Rate Sensitivity Measurement for Bonds |
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| BAI Sui-ping,ZHANG Shu-bin,YAO Li. The Interest Rate Sensitivity Measurement for Bonds[J]. Mathematics in Practice and Theory, 2004, 34(3): 46-50 |
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| Authors: | BAI Sui-ping ZHANG Shu-bin YAO Li |
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| Abstract: | Based on the bond market of China, the interest rate sensitivity measurement for fixed and floating rate bonds are studied in this paper. The approaches used are Duration and Convexity respectively. |
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| Keywords: | interest rate sensitivity duration convexity |
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