Wind 资讯金融终端：债券金融技术手册

wind 资讯—中国金融数据及解决方案首席服务商

14页 中文

目 录
1 债券基本指标.................................................................................................................................................1
1.1 净价 (NET PRICE) ....................................................................................................................1
1.2 全价 (DIRTY PRICE).................................................................................................................1
1.3 应计利息 (ACCRUED INTEREST) .............................................................................................1
1.4 到期收益率 (YIELD TO MATURITY) ........................................................................................1
1.5 久期(DURATION)......................................................................................................................2
1.6 凸性（CONVEXITY） ..............................................................................................................2
2 收益率曲线与期限结构曲线..........................................................................................................................3
2.1 概念........................................................................................................................................3
2.2 制作方法................................................................................................................................3
2.2.1 收益率曲线的多项式三次样条拟和法.........................................................................4
2.2.2 期限结构的多项式三次样条拟和法.............................................................................5
2.2.3 远期利率曲线.................................................................................................................5
3 OTR 年期收益率分析....................................................................................................................................6
4 债券综合分析.................................................................................................................................................7
4.1 固定利率债券分析.................................................................................................................7
4.1.1 央行规则.........................................................................................................................7
4.1.2 单利方法.........................................................................................................................7
4.1.3 复利方法.........................................................................................................................7
4.1.4 复利BE 方法..................................................................................................................8
4.2 浮动利率债券分析.................................................................................................................8
4.2.1 概念................................................................................................................................8
4.2.2 利差分析.........................................................................................................................8
4.2.3 久期分析.........................................................................................................................9
4.3 含期权债券分析...................................................................................................................10
4.3.1 概念...............................................................................................................................10
4.3.2 期权性质分类...............................................................................................................10
4.3.3 赎回（回售）收益率...................................................................................................10
5 公司介绍....................................................................................................................................................... 11