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Список использованных нормативных актов.
Приложение.
Структуры иммунизированных портфелей по состоянию на 27.12.2000.
Таблица 1.
Структуры портфелей, иммунизированных по методу Л.Фишера–Р.Вейла.
| Срок | 21143 | 25013 | 25014 | 25021 | 25024 | 25030 | 27003 | 27004 | 27007 | 27009 | 27010 | 27011 | 28001 |
| 8 | 0 | 0 | 0 | 0.957 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.043 |
| 12 | 0 | 0 | 0 | 0.922 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.078 |
| 26 | 0 | 0 | 0 | 0.802 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.198 |
| 52 | 0 | 0 | 0 | 0.578 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.422 |
| 78 | 0 | 0 | 0 | 0.354 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.646 |
| 104 | 0 | 0 | 0 | 0.130 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.870 |
Таблица 2.
Структуры портфелей, иммунизированных на основе критерия Г.Фонга–О.Васичека.
| Срок | 21143 | 25013 | 25014 | 25021 | 25024 | 25030 | 27003 | 27004 | 27007 | 27009 | 27010 | 27011 | 28001 |
| 8 | 0.512 | 0.488 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 12 | 0 | 0.956 | 0 | 0 | 0.044 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 26 | 0 | 0.239 | 0 | 0 | 0.761 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 52 | 0 | 0 | 0 | 0 | 0 | 0.900 | 0.100 | 0 | 0 | 0 | 0 | 0 | 0 |
| 78 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.985 | 0.015 | 0 | 0 | 0 | 0 |
| 104 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.785 | 0.215 | 0 | 0 |
Таблица 3.
Структуры портфелей, иммунизированных от непараллельных сдвигов временной структуры процентных ставок на основе двухкомпонентной модели.
| Срок | 21143 | 25013 | 25014 | 25021 | 25024 | 25030 | 27003 | 27004 | 27007 | 27009 | 27010 | 27011 | 28001 |
| 26 | 0 | 0.627 | 0 | 0 | 0.341 | 0 | 0 | 0 | 0 | 0 | 0 | 0.032 | 0 |
| 52 | 0 | 0 | 0.142 | 0 | 0 | 0.856 | 0 | 0 | 0 | 0 | 0.002 | 0 | 0 |
| 78 | 0 | 0 | 0 | 0 | 0 | 0 | 0.266 | 0.715 | 0 | 0 | 0.019 | 0 | 0 |
| 104 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.879 | 0 | 0 | 0.121 | 0 | 0 |
Таблица 4.
Структуры портфелей, иммунизированных от смещения временных премий.
| Срок | 21143 | 25013 | 25014 | 25021 | 25024 | 25030 | 27003 | 27004 | 27007 | 27009 | 27010 | 27011 | 28001 |
| 8 | 0.521 | 0.479 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 12 | 0 | 0.965 | 0 | 0 | 0.035 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
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