| 摘要 |
PROBLEM TO BE SOLVED: To obtain a criteria for clarifying the characteristic of an individual bond and that of a whole portfolio with respect to the change of the spread level of the market. SOLUTION: By referring to a corporate bond attribute DB 42, a bond date DB 44, etc., an individual spread calculation part 22, an average spread calculation part 23 and a correction duration calculation part 25 calculate individual spread, average spread and correction duration respectively and store them in a bond index spread DB 45. By referring to the DB 45, a result spread sensitivity calculation part 31 calculates result spread sensitivity. Based on the result spread sensitivity, an estimated spread sensitivity calculation part 32 calculates estimated spread sensitivity. Based on the estimated spread sensitivity, a portfolio spread beta βcalculation part 33 calculates portfolio spread beta β. |
