论文部分内容阅读
债券是人们重要的投资工具之一,在进行投资分析过程中,投资者会运用债券的久期、凸度等指标来衡量债券的利率风险。在投资过程中,投资者可以运用这些指标来构造债券的组合,实现凸性对冲。本文根据凸性对冲的原理,提出了构造债券组合一种方法,并利用最近债券市场的交易数据进行检验,发现确实存在凸性对冲的机会。
Bonds are one of the most important investment tools. During the investment analysis, investors use bond duration, convexity and other indicators to measure the interest rate risk of bonds. In the investment process, investors can use these indicators to construct a combination of bonds, to achieve convex hedging. Based on the principle of convexity hedging, this paper proposes a method to construct bond portfolio, and uses the recent transaction data of bond market to test and finds that there is a chance of convex hedging.