估值计算事例

1、债债券券类类型型固息債债债券券金金额额1000 息息票票利利率率8% 期期限限6 年1年2年3年4年5年6年收收益益率率6.0%6.5%7.0%7.5%8.0%8.5%期限123456 市价现金流80808080801080折现因子0.943396 0.881659 0.816298 0.748801 0.680583 0.612945现值75.4717 70.53274 65.30383 59.90404 54.44666 661.9807 987.6397久期0.076416 0.142831 0.198363 0.2426150.27564 4.021592 4.957458单期限修正久

2、期-0.9434 -1.87793 -2.80374 -3.72093 -4.62963 -5.52995债券的修正久期-0.07209 -0.13411 -0.18539 -0.22569 -0.25522 -3.70654 -4.57904 收益率每变化1%，价格反向变化4.57904%单期限凸性1.779993 5.289956 10.48126 17.30665 25.72016 35.67712债券凸性0.13602 0.377785 0.693033 1.049713 1.417903 23.91314 27.58759 收益率每变化1%，价格反向变化4.57904*0.01-0.

3、5*27.58759*0.0001=4.4411%VaR计算日期市价变化率折算损失置信度2015/12/18100090%2015/12/17 986.8535 0.802989 -197.0112015/12/16 1228.975 1.344097 339.57322015/12/15 914.3497 0.686283 -385.5512015/12/14 1332.322 1.090813 83.034652015/12/13 1221.403 1.691363 921.11842015/12/12 722.1415 0.902041 -119.6482015/12/11 800.56

4、41 1.281519 203.29692015/12/10 624.6992 0.441507-447.112015/12/9 1414.926 2.106434 691.18842015/12/8 671.7164 1.114135 161.49262015/12/7602.904 0.598424 -269.7452015/12/6 1007.486 1.274167 165.29632015/12/5 790.7018 0.633201 -369.5452015/12/4 1248.738 0.859157 -111.3652015/12/3 1453.446 1.177744 221

5、.95592015/12/2 1234.093 0.882669 -170.5352015/12/1 1398.138 1.930249 1148.0152015/11/30 724.3305 1.217463 304.04282015/11/29 594.9509 0.899481 -72.80892015/11/28 661.4379 1.16112395.86032015/11/27 569.6535 0.702691 -196.6522015/11/26 810.6746 0.969727 -17.24482015/11/25 835.9819 0.684856 -255.479201

6、5/11/24 1220.668 2.002513 838.08252015/11/23 609.5683 1.071097 86.785362015/11/22 569.1067 0.408965 -360.2762015/11/21 1391.577 1.069447 39.522792015/11/20 1301.211 0.978584 -29.80172015/11/19 1329.688 0.917106 -107.8632015/11/18 1449.8742.12858 1500.6592015/11/17681.146 0.848096 -220.2412015/11/16

7、803.1469 0.663887 -228.9422015/11/15 1209.765 1.219572 176.34882015/11/14 991.9586 0.670498-398.622015/11/13 1479.436 1.254893 252.84322015/11/12 1178.934 2.201664 1777.7862015/11/11 535.4741 0.413522 -691.4192015/11/10 1294.9122.4058 752.76932015/11/9538.246 0.551823-580.352015/11/8 975.3959 0.7985

8、87 -108.4092015/11/7 1221.401 0.856577 -139.8942015/11/6 1425.909 1.079971 97.676462015/11/5 1320.322 2.061603 1513.7492015/11/4 640.4345 0.434659 -746.4322015/11/3 1473.417 1.597158 382.44052015/11/2 922.5246 0.832203 -247.2352015/11/1 1108.533 1.024808 22.886452015/10/31 1081.698 1.639828 709.2705

9、2015/10/30659.641 0.801213 -215.0272015/10/29 823.3028 0.688913 -205.2062015/10/28 1195.075 1.812609 669.02362015/10/27659.312 0.749526 -299.3362015/10/26 879.6391 1.499891 329.58392015/10/25 586.4689 0.454104 -480.1912015/10/24 1291.485 2.185612 695.32442015/10/23590.903 0.627164 -481.5122015/10/22

10、 942.1824 0.887667 -66.37792015/10/21 1061.4140.72651 -257.6772015/10/20 1460.976 1.318641 338.21012015/10/19 1107.941 1.243319 355.48382015/10/18 891.11510.59675 -446.7772015/10/171493.28 2.379448 1229.2472015/10/16 627.5744 0.481198 -774.7172015/10/15 1304.192 1.031738 19.918092015/10/14 1264.073

11、2.006207 1312.2882015/10/13 630.0808 0.810861 -239.0862015/10/12 777.0517 0.744325 -161.0962015/10/11 1043.9690.94043 -46.28882015/10/10 1110.097 0.740153 -271.2722015/10/9 1499.821 1.064426 71.518872015/10/8 1409.042 2.141001 1711.2982015/10/7 658.1231 0.519767 -676.6692015/10/61266.19 1.226695 149

12、.19322015/10/5 1032.196 1.430814 545.49252015/10/4 721.4045 0.516821 -498.7362015/10/3 1395.851 2.404611 1013.2932015/10/2 580.4892 0.695811 -424.6022015/10/1 834.2622 0.701693 -173.1642015/9/30 1188.927 0.815204 -154.1682015/9/291458.44 1.270932322.1182015/9/28 1147.536 1.197088 287.44052015/9/27 9

13、58.6069 1.434162 498.21732015/9/26 668.4088 0.669094 -317.2092015/9/25998.976 1.829108 554.18332015/9/24 546.1546 0.944412 -55.53142015/9/23 578.3015 0.446046 -302.5442015/9/22 1296.505 2.445769 836.09012015/9/21 530.1012 0.386257 -795.7212015/9/20 1372.405 1.595283 315.56022015/9/19 860.2895 0.9344

14、47 -89.96562015/9/18 920.6404 0.797419 -174.2792015/9/17 1154.526 2.054562 970.87232015/9/16 561.9328 0.940742 -68.41532015/9/15 597.3296 0.585088 -233.1522015/9/14 1020.922 0.822913 -105.7792015/9/13 1240.619 1.412538 421.16882015/9/12 878.2912 0.732361 -332.0382015/9/111199.26 1.560176 491.9977201

15、5/9/10 768.6696 1.478304 573.61032015/9/9 519.9674 0.924867 -57.75252015/9/8 562.2078 0.382281 -321.1942015/9/7 1470.665 2.597187 897.95092015/9/6 566.25320.53463 -684.4032015/9/51059.15 1.748323 423.74052015/9/4 605.8087 0.542449 -484.6142015/9/3 1116.802 1.186185 112.79222015/9/2 941.5079 0.747958

16、 -281.4812015/9/1 1258.771 1.619472 583.23782015/8/31 777.2723 1.225433283.7682015/8/30634.284 0.539466-357.962015/8/29 1175.763 1.593293 376.31622015/8/28 737.94530.73441-312.272015/8/27 1004.813 0.836818 -120.4192015/8/26 1200.754 0.845721 -155.0212015/8/25 1419.7981.9692 1163.7712015/8/24 721.002

17、5 0.599521-568.62015/8/23 1202.631 1.082071 59.173522015/8/22 1111.416 1.018474 22.217352015/8/21 1091.256 0.957474 -47.26372015/8/20 1139.724 1.046309 50.535322015/8/191089.280.88898 -126.5322015/8/18 1225.314 1.073577 80.145642015/8/17 1141.3380.93238 -82.85562015/8/16 1224.113 2.160539 1324.56820

18、15/8/15 566.5775 0.787723 -259.8512015/8/14 719.25981.03954 22.402732015/8/13 691.9017 #DIV/0!#DIV/0!0.044411收益率每变化1%，价格反向变化4.57904%收益率每变化1%，价格反向变化4.57904*0.01-0.5*27.58759*0.0001=4.4411%-878.124-732.656-640.299-568.176-556.668-555.298-522.623-519.208-513.644-511.695-507.983-493.961-492.306-489.356-485.133-482.72-477.681-475.538-469.523-396.087-368.013-365.014-364.119-323.818-323.482-294.92-293.849-289.108-288.967-270.087-268.591-262.631-257.27-222.055-203.64-195.924-189.413-176.125-168.906-168.34-136.299-134.506-133.693-124.03-122.76-119.071-