基于贝塞尔曲线的中、美、日利率期限结构静态研究

利率期限结构曲线的静态拟合是指,使用不同类型的数学函数近似地描述整条利率期限结构曲线。当前最流行的静态拟合方法是利用B样条曲线来拟合利率曲线。然而,该方法往往受制于阶数的限制,而仅仅停留在3阶。本文通过利用B样条曲线的特殊形式——Bezier曲线拟合了中国、美国、日本国债利率的期限结构曲线,获得了一种可以升阶的拟合方法。同时,将复杂的曲线拟合计算,简化为对散点的聚类分析,取得了中国利率期限结构的模型。

Static Study of Interest Rates the Term Structure Based on Bezier Curve

The term structure of interest rates static fitting curve refers to describing the yield curve of interest rate with different types of mathematical function. The most popular method of static fitting is using a B-spline curve to fit the yield curve of interest rate. However, this method is often subject to restrictions of the order. So, usually the fitting is on the third order. Using a special form B-spline curve what is Bezier curve, we get the term structure of interest rate curve of government bonds fo...