| 运用非均匀三次B样条拟合我国国债利率期限结构 |
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| 引用本文： | 戴习民,朱晓临,张仁琼.运用非均匀三次B样条拟合我国国债利率期限结构[J].大学数学,2014(2):11-16. |
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| 作者姓名： | 戴习民 朱晓临 张仁琼 |
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| 作者单位： | [1]合肥工业大学数学学院,合肥230009 [2]合肥工业大学图书馆,合肥230009 |
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| 基金项目： | 国家自然科学基金（61272024）;安徽省自然科学基金（11013606M06）;高校图书馆加强数字参考咨询服务提升大学生信息素养研究（20100103）;工科数学基础课应用型学习研究的教学实践（2008jyxm230） |
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| 摘 要： | 运用非均匀三次B样条作为拟合函数,以我国上海证券交易所附息国债的日价格为数据,拟合了我国国债的利率期限结构.实证结果显示,使用"等额现金量法"来确定样条节点向量,所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.
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| 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 |
Fitting Term Structure of Interest Rates of China Bonds with Non-uniform Cubic B-Splines |
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| DAI Xi-min,ZHU Xiao-lin,ZHANG Ren-qiong.Fitting Term Structure of Interest Rates of China Bonds with Non-uniform Cubic B-Splines[J].College Mathematics,2014(2):11-16. |
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| Authors: | DAI Xi-min ZHU Xiao-lin ZHANG Ren-qiong |
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| Institution: | 1. Department of Mathematics, Hefei University of Technology, Hefei 230009 ,China; 2. Library of Hefei University of Technology, Hefei 230009 ,China) |
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| Abstract: | Using non-uniform cubic B-Splines as fitting functions, the term sructure of interest rates of Chinese treasury bonds is fitted with the daily prices of interest -bearing treasury bonds in Shanghai Bond Exchange. With the method of equal-cash-flow, the knots vector is determined. Empirical. research proves that the result of this method is consistent with economic principles and the estimation error of Bonds＇ prices is smaller. |
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| Keywords: | non-uniform cubic B-Splines term structure of interest rate discount funetion~ knots vector |
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