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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (6): 1-5.

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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

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

CLC Number: