基于有理插值函数的利率期限结构模型

发布时间：2018-02-13 09:52

本文关键词： 有理插值函数利率期限结构节点选择预测精度最小一乘　出处：《系统工程理论与实践》2017年01期 　论文类型：期刊论文

【摘要】：本文基于重心权有理插值函数,提出了一种新的利率期限结构静态估计模型,并给出一整套建模过程(包括基函数的构造、参数估计、节点选择、模型预测等).与传统的样条方法相比,本文提出的模型具有以下四个方面的优势:拟合的利率曲线光滑性更好;模型计算复杂度较低;参数估计存在明确的经济意义;模型的预测精度更高.最后,将该模型应用于上海证券交易所交易的国债利率期限结构研究,结果显示:模型在结构分析、计算复杂度、预测能力及经济内涵等方面均优于传统模型,能够有效提高国债利率期限结构拟合与定价的准确性.
[Abstract]:Based on the barycentric weight rational interpolation function, a new static estimation model of interest rate term structure is proposed in this paper, and a whole set of modeling processes (including the construction of basis function, parameter estimation, node selection, etc. Compared with the traditional spline method, the model presented in this paper has the following four advantages: the smoothness of the fitted interest rate curve is better, the computational complexity of the model is lower, the parameter estimation has clear economic significance; The prediction accuracy of the model is higher. Finally, the model is applied to the term structure of treasury bond interest rate traded on Shanghai Stock Exchange. The results show that the model is computationally complex in structure analysis. The forecasting ability and economic connotation are superior to the traditional model, which can effectively improve the accuracy of the term structure fitting and pricing of national debt interest rate.
【作者单位】：合肥工业大学管理学院;阜阳师范学院数学与统计学院;
【基金】：国家自然科学基金重大项目(71490725);国家自然科学基金(71371062) 国家重点基础研究发展计划(973计划)(2013CB329600) 阜阳师范学院自然科学研究项目(2017FSKJ02ZD)~~
【分类号】：F224;F832.51

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