第06章 收益率曲线的计算(德意志银行Excel金融工程建模)

上海证交所公司债券收益率的期限结构

债券代码

到期时间债券本金年息票率债券市价期限今天129803

0.741008.60%140.15129806 1.28100 6.95%129.585129901 2.08100 3.80%112.085

120001 2.91100 4.00%103.85129904 3.76100 5.48%108.84129805

4.34100 6.20%11

5.08129905 4.99100 4.50%105.681299027.08100 4.50%111.7110

1299037.87100 4.00%102.221201018.76100 4.00%102.44120102

14.15100 5.21%114.05

0.15

0.342.152.342.502.762.762.872.912.993.003.153.343.50

3.76 3.87 3.91

3.99

4.00 4.15 4.34 4.50 4.76 4.76 4.87 4.91

4.99

5.00 5.15 5.34 5.50 5.76 5.76 5.87 5.91

5.99

6.00 6.15 6.34 6.50 6.76 6.76 6.87 6.91

6.99

7.00 7.15 7.34 7.50 7.76 7.76 7.87 7.91

7.99

8.00 8.15 8.34 8.50 8.76 8.76

8.91

8.99

9.00 9.15 9.34 9.50 9.76 9.76 9.87 9.91

9.99

10.00 10.15 10.34 10.50 10.76 10.76 10.87 10.91

10.99

11.00 11.15 11.34 11.50 11.76 11.76 11.87 11.91

11.99

12.00 12.15 12.34 12.50 12.76 12.76 12.87 12.91

12.99

13.00 13.15 13.34 13.50 13.76 13.76 13.87 13.91

14.00 14.15 0.13

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

6.5

7

7.5

8

8.5

9

9.5

10 10.5

11 11.5

12 12.5

13 13.5

14 14.5

15 15.5

16 16.5

17 17.5

18 18.5

连续复利收益率单变量求解

2.76%

3.06%

2.88%

2.69%10

3.8499943

3.30%108.8399865

3.41%115.0800065

3.23%105.680027

3.68%

3.74%102.2199262

3.79%102.4399055

4.56%114.0496938

2.80%

2.90%

2.86%

2.82%

2.78%

2.73%

2.73%

2.70%

2.69%

2.75%

2.76%

2.87%

3.00%

3.12%

3.30% 3.32% 3.33% 3.34% 3.35% 3.37% 3.41% 3.44% 3.29% 3.29% 3.26% 3.25% 3.23% 3.22% 3.26% 3.30% 3.34% 3.39% 3.39% 3.42% 3.43% 3.44% 3.45% 3.48% 3.52% 3.56% 3.61% 3.61% 3.64% 3.64% 3.66% 3.66% 3.69% 3.70% 3.71% 3.73% 3.73% 3.74% 3.74% 3.74% 3.74% 3.75% 3.76% 3.77% 3.79% 3.79%

3.81% 3.82% 3.82% 3.84% 3.87% 3.89% 3.93% 3.93% 3.94% 3.95% 3.96% 3.96%

3.98%

4.01% 4.03% 4.07% 4.07% 4.09% 4.09% 4.10% 4.11% 4.13% 4.16% 4.18% 4.21% 4.21% 4.23% 4.24% 4.25% 4.25% 4.27% 4.30% 4.32% 4.36% 4.36% 4.37% 4.38% 4.39% 4.39% 4.41% 4.44% 4.46% 4.50% 4.50% 4.52% 4.52%

4.54%

4.56%

公司债收益率国债收益率信用风险溢酬

2.80% 1.72% 1.08%

2.78% 1.77% 1.01%

2.90% 1.84% 1.06%

3.01% 1.93% 1.08%

2.90% 2.01%0.88%

2.78% 2.10%0.68%

2.76% 2.19%0.57%

3.12% 2.28%0.84%

3.35% 2.36%0.98%

3.44% 2.45%0.99%

3.22% 2.54%0.68%

3.34% 2.50%0.84%

3.45% 2.50%0.94%

3.56% 2.45% 1.11%

3.66% 2.50% 1.16%

3.71% 2.58% 1.13%

3.74% 2.60% 1.14%

3.77% 2.62% 1.15%

3.82% 2.64% 1.18%

3.89% 2.38% 1.51%

3.96% 2.36% 1.60%

4.03% 2.43% 1.61%

4.11% 2.49% 1.61%

4.18% 2.56% 1.62%

4.25% 2.62% 1.63%

4.32% 2.68% 1.64%

4.39% 2.75% 1.64%

4.46% 2.81% 1.65%

4.54% 2.88% 1.66%