必应词典为您提供Cash-Flow-Duration的释义,网络释义: 现金流久期法;资金流久期;现金流期限;
现金流量久期(Cash Flow Duration)是有效久期的另一种版本,它允许现金流随着利率的变化而变化。 以上内容仅供参考,建议查阅金融学书籍或咨询金融领域专家了解更多详情。©2022 Baidu |由 百度智能云 提供计算服务 | 使用百度前必读 | 文库协议 | 网站地图 | 百度营销 ...
Weber, Michael, 2016, Cash flow duration and the term structure of equity returns, Working paper, University of Chicago.WEBER, M. (2018): "Cash Flow Duration and the Term Structure of Equity Returns," Journal of Financial Economics, 128, 486-503....
settlement = bond.settlementDate();returnCashFlows::nextCashFlow(bond.cashflows(),false, settlement); } 开发者ID:AlexJiaeHwang,项目名称:quantlib,代码行数:8, 示例3: previousCashFlowDate ▲ Date BondFunctions::previousCashFlowDate(constBond& bond, Date settlement) {if(settlement == Date()) se...
我记得有到题目就是对比tender offer ， cash flow method 以及 duration matching的办法的，里面的答案...
我对duration matching的理解很单薄,一个是零息债券的duration=investment horizon,因此是很完美的duration matching;一个是portfolio duration等于各duration的权重相加。我之前没有听到老师说过,duration matching要提早卖这个假设。。 另外,cash flow matching什么情况下会像图上说的,会提早有cash flow 然后以当期利率算...
Convexity=Macaulayduration2+Macaulayduration+Dispersion(1+cashflowyield)2, 然后官方教材中并没有详细解释缘由,这里我们对这个公式的由来进行简单数学推导。 首先,我们需要注意的是,这个公式主要是针对债券组合的情况,因此,我们第一步我们要对数学符号进行简单说明,和我们之前用到的债券定价公式稍许区别,但是原理是一样...
Mortgage Affordability: Compute the amount of principal one can borrow based on monthly payment, duration and interest rate. Leverage Ratio: Calculates a ratio describing debt to income. Compound Interest: Computes the compounded interest on a fixed interest rate investment CAGR: Computes the compounded...
在做duration-matching时,组合真正的准确收益率指标是Cash flow yield,而不是加权YTM。所以如果基于加权YTM算的组合指标,其实是有误差的,会给duration-matching带来误差。 同时,基于YTM算出来的组合加权macaulay duration也是不准的,只有基于Cash flow yield算出来的理论macaulay duration才是准确的。 当利率曲线向上倾斜时...
Cash Flow, Supplemental Disclosures duration The entire disclosure for supplemental cash flow activities, including cash, noncash, and part noncash transactions, for the period. Noncash is defined as information about all investing and financing activities of an enterprise during a period that affect ...