| 四次B-样条法构造国债收益率曲线 |
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| 引用本文： | 徐应物.四次B-样条法构造国债收益率曲线[J].合肥工业大学学报(自然科学版),2006,29(5):606-608. |
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| 作者姓名： | 徐应物 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009 |
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| 摘 要： | 随着我国国债期限结构的不断完善,使用科学的方法构造国债收益率曲线具有重要意义。文章用一组B-样条基的线性组合逼近贴现函数,用回归技术得出最优参数,从而进一步得到国债即期收益率曲线;并用上海证券交易所数据构造出我国即期国债收益率曲线。
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| 关 键 词： | B-样条 收益率曲线 最小二乘法 |
| 文章编号： | 1003-5060(2006)05-0606-03 |
| 修稿时间： | 2005年4月3日 |
Four-degree B-spline method for constructing theoretical treasury yield curves |
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| XU Ying-wu.Four-degree B-spline method for constructing theoretical treasury yield curves[J].Journal of Hefei University of Technology(Natural Science),2006,29(5):606-608. |
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| Authors: | XU Ying-wu |
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| Abstract: | With the improvement of the maturity structure of the national debt in China,using scientific methods to construct theoretical treasury yield curves becomes more significant.In this paper,a linear combination of a set of B-spline bases is used to approximate the discount function,and the optimum parameter value is obtained by using the regression technique,consequently the spot theoretical treasury yield curves are attained.Based on the data from Shanghai Stock Exchange,China's spot theoretical treasury yield curves are constructed. |
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| Keywords: | B-spline yield curve method of least squares |
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