债券收益率与价格的关系

到期收益率成本一年后售出收益一年后9年期利率仍然为购10%10000.00000000000%11000.000000000000%10.00%

9.00%10641.76577011590%11599.524689426300%9.00%

8.00%11342.01627978830%12249.377582171400%8.00%

7.00%12107.0744*******%12954.569674639400%7.00%

6.00%12944.03482056590%13720.676909799800% 6.00%

5.00%13860.86746459240%14553.910837822000% 5.00%

4.00%14866.53746761300%15461.198966317500% 4.00%

3.00%15971.14198574310%16450.276245315400% 3.00%

2.00%17186.06800499380%17529.789365093700% 2.00%

1.00%18524.17407763150%18709.415818407800% 1.00%

一年后9年期利率与购买时10年期利率低10bp 10%10000.00000000000%11057.819865361600%9.900%

9%10641.76577011590%11662.166660629400%8.900%

8%11342.01627978830%12317.319170488400%7.900%

7%12107.0744*******%13028.341955859500% 6.900%

6%12944.03482056590%13800.871191197700% 5.900%

5%13860.86746459240%14641.186234967500% 4.900%

4%14866.53746761300%15556.291024769100% 3.900%

3%15971.14198574310%16554.006763912700% 2.900%

2%17186.06800499380%17643.0776********% 1.900%

1%18524.17407763150%18833.291297688500%0.900%

一年后9年期利率与购买时10年期利率高10bp 10%10000.00000000000%10942.637965204200%10.100%

9%10641.76577011590%11537.385586310600%9.100%

8%11342.01627978830%12181.988920694000%8.100%

7%12107.0744*******%12881.406021529900%7.100%

6%12944.03482056590%13641.153305883300% 6.100%

5%13860.86746459240%14467.375317942400% 5.100%

4%14866.53746761300%15366.924048799600% 4.100%

3%15971.14198574310%16347.449236576600% 3.100%

2%17186.06800499380%17417.501300011000% 2.100%

1%18524.17407763150%18586.648827681900% 1.100%

久期

2010/1/1 6.759023816 6.144567106 3.61%

2020/1/1 6.862725008 6.296077989

6.965803939 6.449818462

7.068104085 6.605704752

7.169471297 6.763652167

7.269754827 6.923576026

7.3688083177.085392613

7.4664907517.249020147

7.562667357.414379754

7.6572103997.581396434

持有一年收益率持有一年资本利得（不算票息收入）

10.0000%0.0000%

9.0000%-0.3969%

8.0000%-0.8168%

7.0000%-1.2596%

6.0000%-1.7256%

5.0000%-2.2146%

4.0000%-2.7265%

3.0000%-3.2613%

2.0000%-

3.8187%

1.0000%-4.3984%

购买时利率高，即使未来利率上升，持有期收益

利率与购买时10年期利率低10bp一年后9年期利率

10.5782%0.5782%9.8000%11116.101855228200%0.11161

9.5886%0.1917%8.8000%11725.316270197700%0.101821

8.5990%-0.2177%7.8000%12385.818990915700%0.09203

7.6093%-0.6503% 6.8000%13102.728772027000%0.082237

6.6195%-1.1060% 5.8000%13881.742734137000%0.072443

5.6297%-1.5849% 4.8000%14729.208856750000%0.062647

4.6396%-2.0869% 3.8000%15652.208432920300%0.052848

3.6495%-2.6118% 2.8000%16658.649974424700%0.043047

2.6592%-

3.1595% 1.8000%17757.376296810300%0.033243

1.6687%-3.7296%0.8000%18958.286796025200%0.023435

利率与购买时10年期利率高10bp低十个bp带来持有有益的增加，比高十个bp带来的持有收

9.4264%-0.5736%10.0023%

8.4161%-0.9809%9.0024%

7.4058%-1.4109%8.0024%

6.3957%-1.8639%

7.0025%

5.3856%-2.3399%

6.0026%

4.3757%-2.8389%

5.0027%

3.3659%-3.3607%

4.0027%

2.3562%-

3.9051% 3.0028%

1.3466%-4.4720%

2.0029%

0.3373%-5.0611% 1.0030%

0.8333%

期收益率也很高（购买时利率就代表借钱出去的利息收入）比高十个bp带来的持有收益的减少量要多