| 指数样条函数在零息票债券定价中的应用 |
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| 引用本文： | 何启志.指数样条函数在零息票债券定价中的应用[J].合肥工业大学学报(自然科学版),2005,28(5):570-573. |
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| 作者姓名： | 何启志 |
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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： | 定义了一个贴现函数,对贴现函数性质进行了研究,讨论了逼近它的几种方法;然后,在相关研究基础上,引入指数样条函数,对其一般形式进行了化简,提供了计算具体时点贴现因子的方法,得到一种逼近和计算贴现函数的简洁算法,并给出一个实例说明方法有效性;最后,指出今后可以继续研究的问题。
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| 关 键 词： | 指数样条函数 贴现因子 零息票债券 约束条件下的最小二乘法 |
| 文章编号： | 1003-5060(2005)05-0570-04 |
| 修稿时间： | 2004年8月2日 |
Research on the application of exponential spline function to the pricing of zero-coupon bond |
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| HE Qi-zhi.Research on the application of exponential spline function to the pricing of zero-coupon bond[J].Journal of Hefei University of Technology(Natural Science),2005,28(5):570-573. |
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| Authors: | HE Qi-zhi |
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| Abstract: | A discount function is defined,its property is studied and several methods of approximating to the function are discussed. Based on relative studies,the exponential spline function is introduced,its common expression is simplified,a method is proposed to calculate the discount factor of some discrete time,and a simple arithmetic to approximate to the discount factor is obtained. An example is presented and the problem for further research is pointed out. |
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| Keywords: | exponential spline function discount factor zero-coupon bond method of conditional least squares |
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