Comparsion of term structure models of linear programming and polynomial spline function in China treasury
The polynomial interpolation method is proposed to fit continuous and smooth term structure because the only discrete discount rate can be gained by the linear programming term structure model of interest rate.The results that the empirical comparison between linear programming model and polynomial spline function are made by the out and in of samples bonds information shows the relative errors of former are respective 0.45% and 1.15%,and the relative errors of latter are respective 4.18% and 4.5% .The results also show that the integration of the linear programming model and polynomial interpolation are suitable to fit the term structure of Shanghai Stock Market in China treasury.
Term structure of interest rate Linear programming model Polynomial interpolation Polynomial spline function
Rongxi Zhou Fengmei Yang Xiaoying Bai Kaijian Shi
College of Economics and Management Beijing University of Chemical Technology College of Science,Beijing University of Chemical Technology,Beijing 100029
国际会议
长沙
英文
976-980
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）