基于N-S模型的随机利率因素分析  

MULTI-FACTORS ANALYSIS OF STOCHASTIC INTEREST RATES BASED ON THE N-S MODEL

作　　者：侯丽英[1] 董继学[1] 刘振忠[1] 

机构地区：[1]黑龙江八一农垦大学

出　　处：《哈尔滨师范大学自然科学学报》2009年第3期61-64,83,共5页Natural Science Journal of Harbin Normal University

基　　金：黑龙江省教育厅科学技术面上项目(111511259);黑龙江八一农垦大学引进人才科研启动基金(S2005-058)

摘　　要：在息票效应调整前提下,推导了N-S模型的参数估计方法,并对上交所国债市场数据进行拟合,得到N-S模型参数及利率期限结构曲线.在此基础上,应用主成分分析方法研究我国国债即期利率曲线变动的动态特征,发现水平、斜度和凸度是影响利率曲线变动的三个主要因素.This paper has got parametric estimated means of N - S model under the pre - condition of the coupon adjustment. By using the data of Shanghai stock exchange, we estimate the parameters of N - S model and the bond＇ s term structure curves. By using principal component analysis method to study the factors governing the variation feature of bond＇ s spot rates curve, we frind that the level, slope and curature are three primary fctors effecting the variation of yield curve.

关 键 词：随机利率 N—S模型 主成分分析 

分 类 号：O211.6[理学—概率论与数理统计] TE341[理学—数学]