债券的久期模型及其应用
只有掌握一定的债券投资理论和相关的基础知识，我们才能对债券的久期模型有一定的了解。债券的久期的种类很多，文章主要介绍了比率久期、金额久期、关键利率久期、修正久期和有效久期这几种久期模型。 首先我们主要介绍几种久期模型的定义以及推导的过程，然后根据一些例题来分析债券的久期。通过对这几种久期模型有了初步认识后，我们可以发现金额久期主要是用来估计债券的价格变化，而有效久期、关键利率久期、修正久期其实是属于比率久期中的一部分。因此，研究比率久期对于债券利率风险管理是一件很有意义的事。于是我们重点讨论了比率久期模型在单一债券和债券资产组合这两方面的利率免疫应用。通过研究发现，债券的比率久期的适用性是比较单一的。最后，本文对久期模型的概况进行了总结，并对久期模型未来的发展战略进行了思考和展望。
关键词：利率风险；比率久期；金额久期；关键利率久期；有效久期；债券利率免疫
Abstract: Only with a certain amount of bond investment theory and relevant basic knowledge, can we have a certain understanding of the long-term model of bonds. There are many kinds of duration of bond, and the paper mainly introduces the long-term models of the long period, the long period, the key interest rate, the fixed duration and the effective duration. First of all, we mainly introduce the definition and derivation of these kinds of long-period models, and then, through some examples, we can give a more comprehensive understanding of these models. Based on the several long period after the model had the preliminary understanding, we can find that amount for a long time period is mainly used to estimate the bond price changes, and effective duration, key rate duration, modified duration really belongs to part of the ratio of long period. Therefore, it is very meaningful to study the risk management of bond interest rate for a long time. Therefore, we focused on the interest rate immune application of the ratio duration model in the combination of single bond and bond asset. The study found that the applicability of the bond's ratio duration was relatively simple. In the end, this paper summarizes the general situation of the long-period model, and thinks and prospected the future development strategy of the long-term model.
Keywords: Interest rate risk; The ratio is long; Long term; Key interest rate duration; Effective duration; Bond rate immunity
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