利率期限结构的B-样条校准法

瞬时远期利率曲线是利率期限结构的重要表现形式.本文介绍了如何应用B样条方法及序列二次规划算法,根据市场利率产品的报价,快速准确地拟合出远期利率曲线.不同于常用的Bootstrapping方法,我们的方法所产生的曲线满足利率期限结构所要求具有的光滑性.最后作为一个实际应用,本文使用欧元市场数据说明了我们方法的具体应用.

CALIBRATING TERM STRUCTURE OF INTEREST RATES WITH B-SPLINES

Instantaneous forward rates are fundamental quantities in the theory of interest rates.We discuss how to calibrate a smooth instantaneous forward rate curve efficiently and accurately using quotes of financial market instruments with help of B-splines and sequential quadratic programming(SQP) algorithm.Compared to the usual bootstrapping method,the curves generated by our method are smooth which required by the theory of term structure of interest rates.We also provide an example using euro market data to s...