| 持期匹配及隐含期权条件下的持期计算 |
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| 引用本文： | 王海艳,张庆洪.持期匹配及隐含期权条件下的持期计算[J].同济大学学报(自然科学版),2003,31(12):1486-1489. |
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| 作者姓名： | 王海艳 张庆洪 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
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| 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 ,进一步以可赎回债券为例给出了在有隐含期权情况下持期的计算方法
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| 关 键 词： | 持期匹配 Redington模型 隐含期权 资产负债管理 |
| 文章编号： | 0253-374X(2003)12-1486-04 |
| 修稿时间： | 2002年9月4日 |
Duration Matching and Its Calculation for Bond with Embedded Option |
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| WANG Hai yan,ZHANG Qing hong.Duration Matching and Its Calculation for Bond with Embedded Option[J].Journal of Tongji University(Natural Science),2003,31(12):1486-1489. |
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| Authors: | WANG Hai yan ZHANG Qing hong |
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| Abstract: | 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. |
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| Keywords: | duration matching Redington model embedded option asset liability management |
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