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
0.341
0.032
52
0.142
0.856
0.002
78
0.266
0.715
0.019
104
0.879
0.121
Таблица 4.
Структуры портфелей, иммунизированных от смещения временных премий.
8
0.521
0.479
12
0.965
0.035
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