| 数据日期：2008-07-02 |
| 序号 | 债券名称 | 债券类别 | 发行日期 | 到期日期 | 总额(亿元) | 利率(%) | 价格(元) | 到期收益率(%) |
| 1 | 05国债(12) | 附息 | 2005-11-15 | 2020-11-15 | 344.10 | 3.65 | 91.58 | 4.60 |
| 2 | 03国债(3) | 附息 | 2003-04-17 | 2023-04-17 | 260.00 | 3.40 | 88.06 | 4.60 |
| 3 | 国债0303 | 附息 | 2003-04-17 | 2023-04-17 | 260.00 | 3.40 | 88.21 | 4.58 |
| 4 | 国债0213 | 附息 | 2002-09-20 | 2017-09-20 | 240.00 | 2.60 | 86.09 | 4.58 |
| 5 | 02国债(13) | 附息 | 2002-09-20 | 2017-09-20 | 240.00 | 2.60 | 86.63 | 4.50 |
| 6 | 国债0203 | 附息 | 2002-04-18 | 2012-04-18 | 200.00 | 2.54 | 93.91 | 4.48 |
| 7 | 国债0505 | 附息 | 2005-05-25 | 2012-05-25 | 337.80 | 3.37 | 96.58 | 4.45 |
| 8 | 03国债(8) | 附息 | 2003-09-17 | 2013-09-17 | 163.80 | 3.02 | 95.99 | 4.42 |
| 9 | 国债0308 | 附息 | 2003-09-17 | 2013-09-17 | 163.80 | 3.02 | 96.08 | 4.40 |
| 10 | 05国债(5) | 附息 | 2005-05-25 | 2012-05-25 | 337.80 | 3.37 | 96.85 | 4.37 |
| 11 | 21国债(7) | 附息 | 2001-07-31 | 2021-07-31 | 240.00 | 4.26 | 101.09 | 4.34 |
| 12 | 05国债(1) | 附息 | 2005-02-28 | 2015-02-28 | 300.00 | 4.44 | 102.17 | 4.33 |
| 13 | 02国债(3) | 附息 | 2002-04-18 | 2012-04-18 | 200.00 | 2.54 | 94.46 | 4.31 |
| 14 | 国债917 | 附息 | 2001-07-31 | 2021-07-31 | 240.00 | 4.26 | 101.67 | 4.28 |
| 15 | 21国债(10) | 附息 | 2001-09-25 | 2011-09-25 | 200.00 | 2.95 | 98.36 | 4.27 |
| 16 | 21国债(12) | 附息 | 2001-10-30 | 2011-10-30 | 200.00 | 3.05 | 98.40 | 4.25 |
| 17 | 国债0501 | 附息 | 2005-02-28 | 2015-02-28 | 300.00 | 4.44 | 102.72 | 4.24 |
| 18 | 国债912 | 附息 | 2001-10-30 | 2011-10-30 | 200.00 | 3.05 | 98.52 | 4.21 |
| 19 | 国债904 | 附息 | 2000-05-23 | 2010-05-23 | 140.00 | 5.25 | 101.52 | 4.21 |
| 20 | 05国债(4) | 附息 | 2005-05-15 | 2025-05-15 | 339.20 | 4.11 | 99.49 | 4.20 |
| 21 | 05国债(9) | 附息 | 2005-08-25 | 2012-08-25 | 319.40 | 2.83 | 97.42 | 4.17 |
| 22 | 05国债(13) | 附息 | 2005-11-25 | 2012-11-25 | 328.40 | 3.01 | 97.30 | 4.15 |
| 23 | 国债0301 | 附息 | 2003-02-19 | 2010-02-19 | 350.00 | 2.66 | 98.67 | 4.15 |
| 24 | 05国债(11) | 附息 | 2005-10-20 | 2010-10-20 | 333.50 | 2.14 | 97.21 | 4.13 |
| 25 | 国债0307 | 附息 | 2003-08-20 | 2010-08-20 | 360.00 | 2.66 | 99.40 | 4.12 |
| 26 | 国债0504 | 附息 | 2005-05-15 | 2025-05-15 | 339.20 | 4.11 | 100.54 | 4.11 |
| 27 | 03国债(7) | 附息 | 2003-08-20 | 2010-08-20 | 360.00 | 2.66 | 99.41 | 4.11 |
| 28 | 国债0215 | 附息 | 2002-12-06 | 2009-12-06 | 340.00 | 2.93 | 100.22 | 4.00 |
| 29 | 国债0407 | 附息 | 2004-08-25 | 2011-08-25 | 312.90 | 4.71 | 106.42 | 3.88 |
| 30 | 国债0503 | 附息 | 2005-04-26 | 2010-04-26 | 333.90 | 3.30 | 99.62 | 3.87 |
| 31 | 国债998 | 附息 | 1999-09-23 | 2009-09-23 | 200.00 | 3.30 | 101.96 | 3.82 |
| 32 | 04国债(10) | 附息 | 2004-11-25 | 2011-11-25 | 359.10 | 4.86 | 106.28 | 3.78 |
| 33 | 99国债(8) | 附息 | 1999-09-23 | 2009-09-23 | 200.00 | 3.30 | 102.01 | 3.78 |
| 34 | 04国债(4) | 附息 | 2004-05-25 | 2011-05-25 | 367.50 | 4.89 | 103.61 | 3.74 |
| 35 | 国债0410 | 附息 | 2004-11-25 | 2011-11-25 | 359.10 | 4.86 | 106.42 | 3.74 |
| 36 | 03国债(11) | 附息 | 2003-11-19 | 2010-11-19 | 310.00 | 3.50 | 101.66 | 3.72 |
| 37 | 02国债(15) | 附息 | 2002-12-06 | 2009-12-06 | 340.00 | 2.93 | 100.59 | 3.72 |
| 38 | 04国债(7) | 附息 | 2004-08-25 | 2011-08-25 | 312.90 | 4.71 | 107.07 | 3.66 |
| 39 | 02国债(10) | 附息 | 2002-08-16 | 2009-08-16 | 200.00 | 2.39 | 100.74 | 3.66 |
| 40 | 20国债(4) | 附息 | 2000-05-23 | 2010-05-23 | 140.00 | 5.25 | 102.52 | 3.65 |
| 41 | 国债0512 | 附息 | 2005-11-15 | 2020-11-15 | 344.10 | 3.65 | 100.48 | 3.65 |
| 42 | 05国债(3) | 附息 | 2005-04-26 | 2010-04-26 | 333.90 | 3.30 | 100.01 | 3.65 |
| 43 | 国债0311 | 附息 | 2003-11-19 | 2010-11-19 | 310.00 | 3.50 | 101.92 | 3.61 |
| 44 | 04国债(8) | 附息 | 2004-10-20 | 2009-10-20 | 336.10 | 4.30 | 103.89 | 3.59 |
| 45 | 03国债(1) | 附息 | 2003-02-19 | 2010-02-19 | 350.00 | 2.66 | 99.57 | 3.56 |
| 46 | 04国债(3) | 附息 | 2004-04-20 | 2009-04-20 | 304.60 | 4.42 | 101.59 | 3.51 |
| 47 | 国债0408 | 附息 | 2004-10-20 | 2009-10-20 | 336.10 | 4.30 | 104.01 | 3.49 |
| 48 | 21国债(15) | 附息 | 2001-12-18 | 2008-12-18 | 200.00 | 3.00 | 101.61 | 3.01 |
| 49 | 国债0210 | 附息 | 2002-08-16 | 2009-08-16 | 200.00 | 2.39 | 101.60 | 2.86 |
| 50 | 国债0509 | 附息 | 2005-08-25 | 2012-08-25 | 319.40 | 2.83 | 102.41 | 2.83 |
| 51 | 国债0115 | 附息 | 2001-12-18 | 2008-12-18 | 200.00 | 3.00 | 101.90 | 2.37 |
| 52 | 国债0508 | 附息 | 2005-08-15 | 2008-08-15 | 324.50 | 1.93 | 76.70 | 0.00 |
| 53 | 05国债(8) | 附息 | 2005-08-15 | 2008-08-15 | 324.50 | 1.93 | 102.22 | -2.38 |
修正久期度量了收益率与债券价格的近似线性关系,即到期收益率变化时债券价格的稳定性。在同等要素条件下,修正久期小的债券较修正久期大的债券抗利率上升风险能力强,但抗利率下降风险能力较弱。 凸性是对债券价格曲线弯曲程度的一种度量。凸性越大,债券价格曲线弯曲程度越大,用修正久期度量债券的利率风险所产生的误差越大。严格地定义,凸性是指在某一到期收益率下,到期收益率发生变动而引起的价格变动幅度的变动程度。 |
