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中国管理科学

中国管理科学 ›› 2004, Vol. ›› Issue (6): 1-5.

• 论文 •    下一篇

基于广义息票剥离法的国债收益率曲线的估计

杨宝臣, 李彪   

  1. 天津大学管理学院 天津 300072
  • 收稿日期:2004-05-11 修回日期:2004-09-10 出版日期:2004-12-28 发布日期:2012-03-07

Estimation on Treasury Bond Yield Curve with Generalized Bootstrap Method

YANG Bao-chen, LI Biao   

  1. School of Management, Tianjin University, Tianjin 300072, China
  • Received:2004-05-11 Revised:2004-09-10 Online:2004-12-28 Published:2012-03-07

PDF (PC)

1911

被引次数

48

摘要： 在一般息票剥离法(bootstrap method)的基础上进行了扩展:采用三次样条插值方法,可以对任意的国债报价数据进行即期收益率曲线估计。同时对插值方程和收益率曲线节点的非线性联立方程进行求解。为分析央行下调利率对我国国债收益率曲线的影响,选取2002年1月21日和2002年3月21日上海证券交易所国债当日收盘价,根据扩展的息票剥离法分别估计出此两日国债收益率曲线,并进行相应的比较分析。

关键词: 广义息票剥离法, 收益率曲线, 样条插值

Abstract: In this paper,a generalized bootstrap method was proposed to estimate the yield curve for any available data sets of bond price with cubic spline interpolation method.In the meanwhile,the paper solved the interpolation equations and the nonlinear equation system in order to obtain the points on the yield curve.In order to investigate the effect on yield curve,whil e the People’s Bank of China decresaes the benchmark interest rates,the paper estimated the treasury bond yield curves on January 21 and March 21,2002 with the price data sets of Shanghai Stock Exchange respectively, and conducted comparison of the two yield curves.

Key words: generalized bootstrap method, yield curve, spline interpolation

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