2. 固定收益证券参考书_教材:
Suresh M. Sundaresan, Fixed Income Markets and Their Derivatives, 北京大学出版社,2003年。
李奥奈尔·马特里尼, 菲利普·普里奥兰德,固定收益证券,机械工业出版社,2002。
王安兴,利率模型,上海财经大学出版社,2007
David Lando, Credit Risk Modeling, Theory and Applications, Princeton University Press.
Claus Munk, Fixed Income Analysis: Securities, Pricing, and Risk Management
75. PVBP(Price value of a basis point)
PVBP有时也称为DV01(dollar value of an 01)
收益率1个基点变化导致价格变化的绝对值
增加或减少1个基点,PVBP近似相同
PVBP与久期相关,是久期的一个特例
例:息票率6.0%6.0%9.0%9.0%期限520520初始价格100.0000100.0000112.7953134.67225.99%时价格100.0427100.1157112.8412134.81595.99%时PVBP0.04270.11570.04590.14376.01%时价格99.957499.8845112.7494134.52876.01%时PVBP0.04260.11550.04590.1435债券久期4.2711.56004.070010.6600久期估计0.04270.11560.04590.1436