{"id":208194,"date":"2026-09-27T19:00:00","date_gmt":"2026-09-27T10:00:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208194"},"modified":"2026-09-25T19:36:27","modified_gmt":"2026-09-25T10:36:27","slug":"convexity","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/convexity\/","title":{"rendered":"\u7b2c14\u56de \u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3 \u2015 \u4e8c\u6b21\u306e\u9805\u306f\u3069\u3053\u3067\u52b9\u3044\u3066\u304f\u308b\u306e\u304b"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c2\u90e8 \u7b2c14\u56de \/ \u524d\u63d0: \u7b2c9\u56de\u3001\u7b2c13\u56de \/ \u6570\u5b66\u7de8: M2 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u91d1\u5229\u304c\u5927\u304d\u304f\u52d5\u3044\u305f\u3068\u304d\u306e\u50b5\u5238\u4fa1\u683c\u306e\u5909\u5316\u3092\u4e8c\u6b21\u306e\u9805\u307e\u3067\u898b\u7a4d\u3082\u308a\u3001\u540c\u3058\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306e\u50b5\u5238\u306e\u9055\u3044\u3092\u8aac\u660e\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 \u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u304c\u5927\u304d\u3044\u307b\u3046\u304c\u5e38\u306b\u5f97\u3068\u306f\u9650\u3089\u306a\u3044<\/h2>\n\n\n\n

\u624b\u5143\u306b100\u4e07\u5186\u304c\u3042\u308a\u3001\u4e8c\u3064\u306e\u50b5\u5238\u30d5\u30a1\u30f3\u30c9\u304b\u3089\u4e00\u3064\u3092\u9078\u3076\u5834\u9762\u3092\u60f3\u50cf\u3057\u3066\u304f\u3060\u3055\u3044\u3002\u3069\u3061\u3089\u3082\u6e80\u671f\u307e\u3067\u306e\u5e73\u5747\u56de\u53ce\u5e74\u6570\u306f4\u5e74\u3067\u63c3\u3048\u3066\u3042\u308a\u307e\u3059\u3002\u91d1\u5229\u304c\u52d5\u3044\u305f\u3068\u304d\u306e\u4fa1\u683c\u306e\u4e0b\u304c\u308a\u65b9\u3082\u3001\u4e00\u6b21\u306e\u611f\u5fdc\u5ea6\u3067\u306f\u307e\u3063\u305f\u304f\u540c\u3058\u3067\u3059\u3002<\/p>\n\n\n\n

\u9055\u3044\u306f\u4e2d\u8eab\u306e\u69cb\u6210\u3067\u3059\u3002\u30d5\u30a1\u30f3\u30c9A\u306f4\u5e74\u6e80\u671f\u306e\u50b5\u5238\u30921\u672c\u3060\u3051\u6301\u3063\u3066\u3044\u307e\u3059\u3002\u30d5\u30a1\u30f3\u30c9B\u306f1\u5e74\u6e80\u671f\u306810\u5e74\u6e80\u671f\u306e\u50b5\u5238\u3092\u6df7\u305c\u3066\u3044\u307e\u3059\u3002B\u306e\u307b\u3046\u304c\u300c\u66f2\u304c\u308a\u300d\u304c\u5927\u304d\u304f\u3001\u91d1\u5229\u304c\u3069\u3061\u3089\u306b\u52d5\u3044\u3066\u3082\u4e00\u6b21\u306e\u8fd1\u4f3c\u304b\u3089\u306e\u305a\u308c\u304c\u4fa1\u683c\u3092\u62bc\u3057\u4e0a\u3052\u308b\u529b\u304c\u5f37\u3044\u3002\u3053\u306e\u66f2\u304c\u308a\u306e\u5927\u304d\u3055\u304c\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u3067\u3059\u3002<\/p>\n\n\n\n

\u91d1\u5229\u304c\u4e00\u5f8b\u306b1\u30d1\u30fc\u30bb\u30f3\u30c8\u4e0a\u304c\u3063\u3066\u3082\u4e0b\u304c\u3063\u3066\u3082\u3001B\u304c\u52dd\u3061\u307e\u3059\u3002\u4e0a\u6607\u3068\u4e0b\u843d\u3092\u5408\u308f\u305b\u305f\u4fa1\u683c\u5909\u5316\u7387\u306f\u3001B\u304c0.35\u30d1\u30fc\u30bb\u30f3\u30c8\u3001A\u304c0.18\u30d1\u30fc\u30bb\u30f3\u30c8\u3067\u3059\u3002\u540c\u3058\u611f\u5fdc\u5ea6\u306e\u306f\u305a\u306a\u306e\u306b\u5dee\u304c\u51fa\u308b\u3002\u305d\u306e\u5dee\u306f\u4e8c\u6b21\u306e\u9805\u304b\u3089\u6765\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u3053\u307e\u3067\u805e\u3051\u3070\u300c\u5e38\u306bB\u3092\u9078\u3079\u3070\u3044\u3044\u300d\u3068\u601d\u3046\u304b\u3082\u3057\u308c\u307e\u305b\u3093\u3002\u3057\u304b\u3057\u91d1\u5229\u306f\u4e00\u5f8b\u306b\u306f\u52d5\u304d\u307e\u305b\u3093\u3002\u77ed\u3044\u91d1\u5229\u304c1\u30d1\u30fc\u30bb\u30f3\u30c8\u4e0b\u304c\u308a\u3001\u9577\u3044\u91d1\u5229\u304c0.25\u30d1\u30fc\u30bb\u30f3\u30c8\u4e0a\u304c\u308b\u3068\u3044\u3046\u300c\u306d\u3058\u308c\u300d\u304c\u8d77\u304d\u305f\u3068\u3057\u307e\u3057\u3087\u3046\u3002A\u306f\u4e2d\u9593\u306e\u5e74\u9650\u306b\u3044\u308b\u306e\u3067\u91d1\u5229\u4f4e\u4e0b\u306e\u6069\u6075\u3092\u53d7\u3051\u3001\u4fa1\u683c\u306f\u7d042.3\u30d1\u30fc\u30bb\u30f3\u30c8\u4e0a\u304c\u308a\u307e\u3059\u3002\u4e00\u65b9B\u306f\u3001\u77ed\u3044\u90e8\u5206\u3067\u306f\u5f97\u3092\u3057\u307e\u3059\u304c\u9577\u3044\u90e8\u5206\u304c\u91d1\u5229\u4e0a\u6607\u3067\u5927\u304d\u304f\u5024\u4e0b\u304c\u308a\u3057\u3001\u5168\u4f53\u3067\u306f\u7d040.1\u30d1\u30fc\u30bb\u30f3\u30c8\u306e\u640d\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

\u66f2\u304c\u308a\u304c\u5927\u304d\u3044\u307b\u3046\u304c\u5e38\u306b\u5f97\u3092\u3059\u308b\u308f\u3051\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u91d1\u5229\u306e\u52d5\u304d\u65b9\u3057\u3060\u3044\u3067\u512a\u4f4d\u306f\u3042\u3063\u3055\u308a\u6d88\u3048\u307e\u3059\u3002\u4e8c\u6b21\u306e\u9805\u304c\u3069\u3053\u304b\u3089\u6765\u3066\u3001\u3044\u3064\u52b9\u3044\u3066\u3044\u3064\u88cf\u5207\u308b\u306e\u304b\u3002\u3053\u306e\u56de\u3067\u306f\u305d\u308c\u3092\u5b9a\u7406\u3068\u3057\u3066\u793a\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u4e00\u6b21\u8fd1\u4f3c\u304c\u5916\u308c\u308b\u5206\u306f\u3069\u3053\u3078\u884c\u3063\u305f\u306e\u304b<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u91d1\u5229\u304c\u5927\u304d\u304f\u52d5\u3044\u305f\u3068\u304d\u306e\u50b5\u5238\u4fa1\u683c\u306e\u5909\u5316\u3092\u4e8c\u6b21\u306e\u9805\u307e\u3067\u898b\u7a4d\u3082\u308a\u3001\u540c\u3058\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306e\u50b5\u5238\u306e\u9055\u3044\u3092\u8aac\u660e\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u7b2c13\u56de\u3067\u3001\u50b5\u5238\u306e\u4fa1\u683c\u5909\u5316\u7387\u3092\u4fee\u6b63\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3 <\/span>D<\/span><\/span>mod<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u8fd1\u4f3c\u3057\u307e\u3057\u305f\u3002\u4e00\u6b21\u8fd1\u4f3c\u3067\u3059\u3002<\/span>\u0394<\/span>y<\/span><\/span>=<\/span><\/span><\/span><\/span>0.1%<\/span><\/span><\/span><\/span><\/eq> \u306e\u3088\u3046\u306b\u91d1\u5229\u5909\u52d5\u304c\u5c0f\u3055\u3051\u308c\u3070\u3001\u3053\u306e\u8fd1\u4f3c\u306f\u5341\u5206\u306b\u6b63\u78ba\u3067\u3057\u305f\u3002<\/p>\n\n\n\n

\u3057\u304b\u3057 <\/span>\u0394<\/span>y<\/span><\/span>=<\/span><\/span><\/span><\/span>1%<\/span><\/span><\/span><\/span><\/eq> \u306b\u306a\u308b\u3068\u4e00\u6b21\u8fd1\u4f3c\u306e\u8aa4\u5dee\u306f\u7121\u8996\u3067\u304d\u306a\u304f\u306a\u308a\u3001<\/span>\u0394<\/span>y<\/span><\/span>=<\/span><\/span><\/span><\/span>2%<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f\u3055\u3089\u306b\u958b\u304d\u307e\u3059\u3002\u5916\u308c\u305f\u5206\u306f\u3069\u3053\u3078\u884c\u3063\u305f\u306e\u3067\u3057\u3087\u3046\u304b\u3002\u7b54\u3048\u306f\u30c6\u30a4\u30e9\u30fc\u5c55\u958b\u306e\u4e8c\u6b21\u306e\u9805<\/strong>\u3067\u3059\u3002\u3053\u306e\u4e8c\u6b21\u306e\u9805\u3092 <\/span>D<\/span><\/span>mod<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u30bb\u30c3\u30c8\u3067\u4f7f\u3046\u306e\u304c\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u3067\u3059\u3002<\/p>\n\n\n\n

\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u306f\u5358\u306a\u308b\u8fd1\u4f3c\u7cbe\u5ea6\u306e\u6539\u5584\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u300c\u30ad\u30e3\u30c3\u30b7\u30e5\u30d5\u30ed\u30fc\u304c\u975e\u8ca0\u306e\u50b5\u5238\u306f\u3001\u91d1\u5229\u304c\u3069\u3061\u3089\u306b\u52d5\u3044\u3066\u3082\u4e8c\u6b21\u306e\u9805\u304c\u4fa1\u683c\u3092\u62bc\u3057\u4e0a\u3052\u308b\u300d\u3068\u3044\u3046\u69cb\u9020\u7684\u306a\u6027\u8cea\u304c\u3042\u308a\u3001\u30c7\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u304c\u540c\u3058\u50b5\u5238\u3069\u3046\u3057\u3067\u3082\u30b3\u30f3\u30d9\u30ad\u30b7\u30c6\u30a3\u306e\u5927\u304d\u3055\u3067\u512a\u52a3\u304c\u3064\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u8a18\u4e8b\u3067\u8a3c\u660e\u3059\u308b\u3053\u3068<\/h3>\n\n\n\n