햮좯춶럖컶
햮좯볛룱럖컶•풤웚쿖뷰쇷–샻쾢•쏀맺맺햮쎿6룶퓂횧뢶튻듎쾢욱샻쾢ꎬ쇭췢튻룶폃뗄뷏뛠뗄뢶쾢훜웚쫇3룶퓂ꆣ•뛔햮좯돖폐헟뛸퇔ꎬ뢶쾢욵싊룟틢캶ퟅ햮좯쓜룼퓧략뮹춶쫕틦ꎬ듓뛸쯵뛌춶훜웚ꎬ퓶볓햮좯뗄볛횵–놾뷰•튪쟳뗄쫕틦싊•햮좯뚨볛릫쪽CCCCMP=+++Λ++123nn(1+y)(1+y)(1+y)(1+y)(1+y)웤훐P:햮좯뗄쫐뎡볛룱C:뚨웚횧뢶뗄샻쾢M:떽웚횧뢶뗄놾뷰n:햮좯떽웚뗄쓪쿞y:튪쟳뗄쫕틦싊샻싊짏헇ꎬ햮좯뗄볛룱쿂뗸2
햮좯볛룱럖컶(쪵샽ꎩ•쒳햮좯놾뷰캪1000쏀풪ꎬ웚쿞캪20쓪ꎬ욱쏦샻싊캪10%ꆣ컒쏇볙짨ꎬ헢헅햮좯뗄튪쟳뗄쫕틦싊캪11%ꆣ쯼뗄쿖뷰쇷죧쿂ꎺ–1ꆢ40룶쎿냫쓪튻듎뗄50쏀풪쾢욱–2ꆢ20쓪뫳튻듎쫕믘뗄놾뷰1000쏀풪–쎿룶훜웚튪쟳뗄쫕틦싊캪%ꎨ11%돽틔2ꎩ–내쎿냫쓪%헛쿖ꎬ뗃떽쎿룶냫쓪50쏀풪뗄샻쾢쿖횵5050505050+++Λ++233940(1+%)(1+%)(1+%)(1+%)(1+%)=쏀풪–내쎿냫쓪%헛쿖ꎬ40룶냫쓪뫳뗃떽뗄놾뷰1000풪쿖횵1000ꎽ=쏀풪40(1+%)–헛헅햮좯뗄볛룱뗈폚솽룶쿖횵뗄뫍ꎺ–쾢욱횧뢶뗄쿖횵ꎽ쏀풪–+떽웚놾뷰뗄쿖횵ꎽ쏀풪–햮좯볛횵ꎽ쏀풪–햮좯놨볛ꎽ%3
햮좯볛룱럖컶ꎨ쪵샽ꎩ•샻싊캢킡뇤뚯쪱햮좯볛룱뇤뮯뗄뛈솿ꎺ뻃웚ꎨDurationꎩ•볆쯣릫쪽ꎺdP(−1)C(−1)C(−2)C(−n)C(−n)M평폚=+++Λ++223n+1n+1dy(1+y)(1+y)(1+y)(1+y)(1+y)1C2CnCnM++Λ++2nn1+y(1+y)(1+y)(1+y)죧맻쇮Macauley뻃웚=PdP(1+y)퓲뗃돶Macauley뻃웚=(−1)dyP샻싊2쓪3쓪5쓪7쓪10쓪15쓪20쓪30쓪•춶헟쪹폃Macauley뻃웚뛈솿햮좯볛룱쯦샻싊뗄뇤뚯뗄듳킡ꎬ쫐뎡샻싊쎿뇤뚯튻듎ꎬ햮좯볛룱쿲쿠랴랽쿲뇤뚯샻싊뇤뚯럹뛈뗄Macauley뻃웚놶쫽•잰쏦뗄샽ퟓ훐ꎬ햮좯웚쿞캪20쓪ꎬ욱쏦샻싊캪10%ꎬ뺭볆쯣뗃Macauley뻃웚ꎽ•뇭룱훐쫇뎣볻웚쿞뗄햮좯퓚늻춬욱쏦샻싊쟩뿶쿂Macauley뻃웚뗄듳킡4
쫕틦싊쟺쿟ꎨYield Curveꎩ•쫕틦싊뗄볆쯣–룹뻝햮좯뗄뛾벶쫐뎡볛룱ꎬ듺죫햮좯뚨볛릫쪽랴쿲쟳돶쫐뎡쫕틦싊y•쫕틦싊쟺쿟–폃춼탎살뇭듯쿠춬탅폃훊솿ꆢ늻춬웚쿞뷡릹뗄햮좯뗄쫕틦싊폫웚쿞뗄뛔펦맘쾵ꆣ쫕틦싊쟺쿟뿉틔뇭듯햮좯쫐뎡뎤ꆢ뛌웚샻싊뗄뷡릹ꎬ맊튲돆캪샻싊웚쿞뷡릹ꎨterm structureꎩ–2003쓪3퓂31죕샻싊웚쿞뷡릹죧춼쯹쪾5
쫕틦싊쟺쿟ꎨYield Curveꎩ햮좯쫕틦싊쟺쿟탎ힴ헽쿲쫕틦싊쟺쿟랴쿲쫕틦싊쟺쿟늨뚯쫕틦싊쟺쿟쮮욽쫕틦싊쟺쿟6
쫕틦싊쟺쿟뚯솦톧•퇐뺿쫕틦싊쟺쿟뇤뮯뗄훷튪틲ퟓꎬ듓뛸ퟷ돶ퟮ병뗄춶뻶닟•쫕틦싊쟺쿟뇤뮯뗄훷튪샠탍ꎺ9욽탐틆뚯9얤뚯9뫻뗻탍틆뚯7
욽탐틆뚯r쿲짏틆뚯떱잰쫕틦싊쟺쿟쿲쿂틆뚯T8
얤뚯∆r욽첹뮯T뚸쟍뮯9
뫻뗻탍틆뚯∆rT10
탅폃닺욷쏀풪샻싊샺쪷ퟟ쫆뚯첬퇝쪾11
샻싊럧쿕뫢솿ꎺ뻃웚뻃웚쫇뫢솿횤좯닺볛룱ꎨ폈웤쫇만뚨쫕틦닺욷ꎺ햮좯폫샻싊닺욷ꎩ쫜쫐뎡쫕틦싊쟺쿟욽탐틆뚯펰쿬뗄횸뇪ꆣ뻃웚풽듳ꎬ뛔샻싊럧쿕뻍풽듳ꆣ뻟쳥뛸퇔ꎺ샻싊붵뗍ꎬ룟뻃웚뗄닺짽횵풽뿬ꎬ랴횮샻싊짏짽ꎬ룟뻃웚뗄닺쯰쪧풽뛠ꆣ튻냣햮좯닺뗄뻃웚캪헽쫽ꎬ떫튻킩쳘쫢뗄뷰죚닺욷뗄샻싊뿉틔캪뢺쫽ꎬ뇭쏷닺볛룱뫍샻싊뇤뮯랽쿲쿠춬ꆣ12
럧쿕뿘훆믺훆•샻싊럧쿕맜샭벼쫵•햮좯춶ퟩ뫏•듓풤웚쫕틦뾼싇•믽벫춶ퟩ뫏닟싔ꎺ샻싊풤웚ꆢ쫕틦싊쟺쿟닟싔ꆢ쫕틦싊샻닮닟싔ꆢ떥룶횤좯톡퓱•쿻벫춶ퟩ뫏닟싔ꎺ횸쫽뮯랽램•햮좯쏢틟닟싔•듓춶쫕틦폫춶웚쿞쿠욥엤뾼싇•Macaulay뻃웚•볲떥햮컱쏢틟ꎺMacaulay뻃웚뗈폚춶웚ꎻ춶뛮뗈폚캴살뢺햮뗄쿖횵•뛠훘햮컱쏢틟ꎺ뻃웚ꎻ닺폫햮컱뗄럖즢ꎻ쿖뷰쇷폫햮컱쇷쿖횵쿠뗈13
럧쿕뿘훆믺훆ꎨ탸ꎩ쪹폃탂탍릤뻟맜샭샻싊럧쿕믹놾뗄샻싊럧쿕맜샭릤뻟샻싊웚믵뫏풼ꎺ뎤웚맺햮웚믵ꆢ훐웚맺햮웚믵샻싊웚좨ꎺ쿖믵샻싊웚좨ꆢ웚믵웚좨뺭뗤릤뻟뗄퓋폃ꎺ떱듦퓚샻싊쿂뗸럧쿕쪱ꎬ웚믵뗄쳗웚놣횵ꆢ돖폐뾴뗸웚좨쳗웚놣횵ꆢ잩랢뾴헇웚좨쳗웚놣횵쿖퓚쇷탐뗄샻싊럧쿕맜샭릤뻟샻싊뮥뮻ꎺ뢡뚯샻싊뫍만뚨샻싊뗄뮥뮻뮥뮻웚좨샻싊킭틩ꎺ샻싊짏쿞뫍샻싊쿂쿞뷡릹뮯샻싊닺욷14
