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

摘要：

The term structure of interest rates static fitting curve refers to the use of different types of mathematical function to describe the yield curve of interest rate. The most popular method of static fitting is to use a B-spline curve to fit the yield curve of interest rate. However, this method is often subject to restrictions on 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 for China, the United States and Japan. We get a fitting method to change the orders of curve easily. Meanwhile, the complex curve fitting calculation, simplified to cluster analysis of the scattered points.

关键词： Bezier curves B-spline Interpolation The term structure of interest rate clustering analysis

作者: ZENG Shihong XIA Liang

作者单位: Finance Department of Economics Management School, Beijing University of Technology, 100124

会议类型: 国际会议

会议名称: 2010 International Conference on Regional Management Science and Engineering(2010年区域管理科学与工程国际会议)

会议地点: 济南

会议语种:英文

页码: 458-462

在线出版日期: 2010-04-17（万方平台首次上网日期，不代表论文的发表时间）