国债市场利率期限结构波动的对偶变换建模

Abstract

Abstract: In order to be against excessive volatility of traditional fitting curve for term structure of interest rate(TSIR), optimization model on minimizing function value with absolute price error and volatility rate is crcated,which is transformed into minimization programming of absolute distance within linearity constraint,and the model’s parameters are figured through negative exponential smoothness cubic L₁-spline and numerical geometric’s approximative arithmetic.Negative exponential smoothness cubic L₁-spline displays strong capability in pricing accuracy,volatility structure fitting and multi-step forecast,with comparison to NSS model and B-spline on fitting and forecast capability.The result enriches theorical basis and research method on TSIR’s volatility and valuation in T-bill market.

Key words: T-bill market, term structure of interest rate, volatility modelling, dual transformation

CLC Number:

F830.9
O213

WU Ze-fu. Dual Tranformation Modelling on Term Structure of Interest Rate in T-bill Maket[J]. Chinese Journal of Management Science, 2012, 20(6): 28-34.

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Dual Tranformation Modelling on Term Structure of Interest Rate in T-bill Maket

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