金融计算基础及债券价值分析讲义

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1、1+NFVPVr1N nFVPVr/nlim(1/ )N nr NnPVr nPVe110(1)(1)1NtNNOtFVArArA Ar (1)1NOrFVArrFVFVOD11N nFVPV(r / n)11N ntttCPVr / nnrnrAPVnNO/1111/DOPVPVr n()ifiMMfrrrriM2iMMMr1111NNttttttCPNPVrr110111NNtttNtttCPParrrrHLLLHLHLHLHHNPVNPVNPVrrrNPVNPVNPVrrrIRR市场价格年息票利息当期收益率 2pmmpmPPCNYPPpPmPNC1011NtCtNtCPPrr2cmccc

2、mPPCNYPPCP11tttttPPDrP111ntntCParPrr111nnCParPrrr 111111ndtdntCParPrrrr365aDIC111ntnttnCParPrr 11+1+ (0,1) 1+ (1,1) . 1+ ( -1,1)nnrrrr n111111nnnnrr n,r121+1+ (0,1)1+ (1,1)+.1+ ( -1,1)+nnnrrrLr nL PP12111nnCParPCrrnrrrPPrrPr 22322PPP rrP rrrorrr 22322PPPrrorrr r PVBPP rrP r0.01%r 0.01%PPVBPr 111ntntCParPrr1111111ntntPCPartnr PrPrr111ntntCPartnrrDP11PD rPr 11r1DMDrPMD rP 22112PConvexrP2PMD rConvex rP