基于我国国债的利率期限结构曲线估计

本文通过选取不同的样条函数,对某个特定日期国债所隐含的利率期限结构曲线进行回归估计.我们对回归结果的各分段样条函数进行了检验,根据各分段样条函数的估计结果,提出了指数样条函数与多项式样条函数在估计利率期限结构曲线中的一些特点.我们得到的利率期限结构曲线能够很好的反映市场利率.

The Estimation on the Interest-rate Term Structure Curve of Our T Bonds

In this paper, according to the data of treasury bond and callable bond in the market of Shanghai Securities Exchanges, the interest rate term structure curve is estimated with a certain specific data through choosing different splint function. We have examined the segmentation fitting function, pointing out that there are some characteristics in our estimation. The result shows that the estimated term structure of interest rates can reflect market interest rates.