系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2009年
5期
51~58
,共null页
期限结构 B样条 VRP 二阶微分算子 平滑性
期限結構 B樣條 VRP 二階微分算子 平滑性
기한결구 B양조 VRP 이계미분산자 평활성
term structure; B-spline; VRP; second-difference operator; smoothing
针对一般样条方法在拟合利率期限结构时远期收益曲线振荡过大的缺陷,在差商定义三次B样条函数的基础上,设定债券组合的权重,采用包含可变惩罚项的VRP方法,构造了上交所国债利率期限结构拟合模型,该模型提高了拟合计算效率,具有较高的精确性和平滑性,较为方便的拟合了即期利率与远期利率,可以作为估计我国的利率期限结构的有效方法,
針對一般樣條方法在擬閤利率期限結構時遠期收益麯線振盪過大的缺陷,在差商定義三次B樣條函數的基礎上,設定債券組閤的權重,採用包含可變懲罰項的VRP方法,構造瞭上交所國債利率期限結構擬閤模型,該模型提高瞭擬閤計算效率,具有較高的精確性和平滑性,較為方便的擬閤瞭即期利率與遠期利率,可以作為估計我國的利率期限結構的有效方法,
침대일반양조방법재의합리솔기한결구시원기수익곡선진탕과대적결함,재차상정의삼차B양조함수적기출상,설정채권조합적권중,채용포함가변징벌항적VRP방법,구조료상교소국채리솔기한결구의합모형,해모형제고료의합계산효솔,구유교고적정학성화평활성,교위방편적의합료즉기리솔여원기리솔,가이작위고계아국적리솔기한결구적유효방법,
Contraposing the high oscillation of the forward yield curve fitted by the general spline functions, basing on the cubic B-spline function defined by difference quotient, designing the weights of treasury bonds, and using the VRP method, this paper develops a fitting model on the term structure of SEE T-bonds. The model improves the calculating efficiency of fitting, performances good in accuracy and smoothness, is simple for fitting the spot rate and the forward rate, and can be an effective method for fitting Chinese yield curve.
