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篇名 管理學報, 1998
第十五卷第二期:231-254
DOI:
時間與利率變動導致債券價格變動之近似估計
On Approximating Bond Price Sensitivity to the Changes of Time and Interest Rate
作者
中文摘要
本文探討各種計算債券價格變動率之近似式,並比較各近似式之精確度。對於殖利率瞬間變動導致的債券價格變動,傳統上用修正式存續期間與凸性計算債券價格變動率,但本文驗証Barber[1995]近似式比傳統近似式較準確。對於時間經過導致的債券價格變動,本文指出時間經過效果不可忽略,否則計算債券價格將導致嚴重誤差。另外,本文推導考慮時間經過效果的Barber近似式,並與考慮時間經過效果的傳統式比較計算債券價格變動率的精確度,結果兩者的精確度不相上下。最後,本文綜合研究結果,整理出在各種狀況下,最適合實務應用的近似式。
中文關鍵字
存續期間、凸性、時間經過效果、殖利率瞬間變動
英文摘要
This paper explores various approaches of approximating the rate of change of bond price due to time passage and yield change, and compares the accuracy of each approximation approach. Modified duration and convexity are traditionally applied to compute the rate of change of bond price due to instantaneous change of yield to maturity. However, this paper demonstrates that the approximation approach proposed by Barber[1995] is more accurate than the traditional approach on measuring the bond price sensitivity. For the time passage effect on the change of bond price, this paper indicated that the time passage effect cannot be ignored otherwise a serious error can be caused when computing the change of bond price. In addition, this paper extends Barber’s approximation approach to take the time passage effect into account. We compare the accuracy on computing the change of bond price for Barber’s approximation approach and traditional approach both taking the time passage effect into account. The evidence shows that both approaches reach the same accuracy. Finally, this paper recommends approximation approaches appropriate to various circumstances for practicians based on this study.
英文關鍵字
Duration, Convexity, Time Passage Effect, Instantaneous Change of Yield to Maturity
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