摘要
推导出三次分段多项式样条贴现函数一般式的简化式,建立零息票债券利率期限结构样条回归模型,推导出即期零息票债券利率期限结构,并与文献[12]中的模型进行实证比较,结果表明本文模型能较好地降低国债定价误差。
In this paper the simple formula of three times polynomial spline discount functions are derived and a spline (regression) model of term structure of interest rate of zero-coupon bonds is established. We have got the spot term structure of interest rate and made an empirical comparison with the model in [12]. The result shows that the model can significantly (decrease) the errors of Treasury pricing.
出处
《系统工程》
CSCD
北大核心
2004年第6期39-43,共5页
Systems Engineering
基金
国家自然科学基金资助项目(70372011)
高校博士点专项科研基金资助项目(200030006009)
关键词
多项式样条函数
利率期限结构
样条回归模型
零息票债券
Polynomial Spline Function
Term Structure of Interest Rate
Spline Regression Model
Zero-coupon Bond
