基于多项式样条函数的利率期限结构模型实证比较  

Empirical Comparison of Term Structure of Interest RateBased on Polynomial Spline Functions

作　　者：周荣喜[1] 邱菀华[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《系统工程》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)

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.

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 

分 类 号：F830.91[经济管理—金融学]