Abstract: The degree of matching between project investment and financing is not only related to the cost of project capital, but also reflects the hedging of interest rate risk of the project. Based on the concept of bond duration, this paper proposes the concept and calculation method of project duration and financing structure duration. Taking the investment and financing of a specific project as a case study, this paper carries on the investment and financing duration matching, each stage cash flow matching evaluation to the bond financing scheme drawn up by the case company for the independent project, and finds the financing cost optimization space from the market interest rate curve, and finds the optimized financing scheme from the investment and financing duration difference and the investment and financing cash flow difference. This concludes that the matching of project duration and financing structure duration is an important means to reduce the interest rate risk of the project;and the financing structure should be selected by synthesizing the duration of financing structure and the duration of project, and the size of cash flow.

Key words: project duration, financing structure duration, cash flow, interest rate risk

摘要： 项目投资与融资匹配程度,不仅关系到项目资金成本的大小,还体现对项目利率风险的对冲。基于债券久期的概念内涵,提出了项目久期与融资结构久期的概念及计算方法。以具体项目的投融资为案例进行研究,对案例公司已拟定的针对独立项目的债券融资方案进行投融资久期匹配、各期现金流匹配评价,并从市场利率曲线中发现融资成本优化空间,从投融资久期差及各期投融资现金流量差中找到优化融资的方案。以此提出结论:项目久期与融资结构久期的匹配是降低项目利率风险的重要手段;应综合融资结构久期与项目久期、现金流大小选择融资结构。

关键词: 项目久期, 融资结构久期, 现金流, 利率风险