BOND PROPERTY CALCULATING SYSTEM AND SPREAD CHANGE RATE CALCULATING SYSTEM

摘要

PPROBLEM TO BE SOLVED: To provide a measure for clarifying features of a whole portfolio and of an individual bond property changes of spread level in a market. PSOLUTION: An individual spread calculating part 22, mean spread calculating part 23 and modification duration calculating part 25 respectively calculate the individual spread, mean spread and modification duration referring to an industrial bond attribute DB 42 and bond date DB 44 to store in a bond index DB 45. A track record spread sensitivity calculating part 31 calculates the track record spread sensitivity referring to the bond index DB 45. An estimated spread sensitivity calculating part 32 calculates the estimated spread sensitivity based on the track record spread sensitivity. A portfolio spread β calculating part 33 calculates the portfolio spread β based on the estimated spread sensitivity. PCOPYRIGHT: (C)2006,JPO&NCIPI