基于非均匀三次B样条的中国利率期限结构建模研究

发布时间：2018-02-28 22:34

本文关键词： 非均匀三次B样条利率期限结构贴现函数节点向量　出处：《合肥工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：运用非均匀三次B样条函数作为拟合函数，以我国上海证券交易所附息国债的日价格为数据，通过贴现函数图像、收益率曲线和瞬时远期利率曲线展现了我国国债的利率期限结构。在选择样条函数的节点向量时，没有采用传统的“等额债券数目法”，而是运用了“等额现金量法”，该方法的原理是使得落在每个样条区间内的现金流的数量相等。这样选出的节点向量更能体现债券的付息日和付息额对利率期限结构的影响。实证结果显示，该方法拟合出的我国国债利率期限结构符合经济原理，，且对债券价格的估计误差较小。
[Abstract]:The inhomogeneous cubic B-spline function is used as the fitting function, and the daily price of the interest-bearing national debt of Shanghai Stock Exchange is taken as the data, and the discounted function image is used. The yield curve and the instantaneous forward interest rate curve show the interest rate term structure of our national debt. Instead of using the traditional "equal number of bonds" method, the "equal amount of cash" method is used. The principle of this method is to make the amount of cash flow falling within each spline range equal. The effect of the date of interest payment and the amount of interest paid on the term structure of interest rate. The term structure of interest rate of China's treasury bonds fitted by this method accords with the economic principle, and the estimation error of bond price is small.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.51;F224

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