Comparative Study on Static Term Structure of Interest Rates

摘要：

　　The term structure of interest rates has been a hot topic in the financial sector.With the accelerating process of interest rate liberalization, to seek a representative benchmark interest rate of the market is basis for the fixed income products pricing.This paper using Nelson-Siegel-Svensson model and polynomial spline model fitting analysis is carried out on bond transaction data of Shanghai stock exchange in China, through analysis and comparison of the two models, to choose the appropriate method to fit the term structure of interest rates.

关键词： the term structure of interest rates spot rate polynomial spline Svensson model

作者: Hongjian Li Feiting Wang Li Zhang

作者单位: Lanzhou University of Technology, China School of Economics and Management, Lanzhou University of Technology, China

会议类型: 国际会议

会议名称: The Thirteenth Wuhan International Conference on E-Business(第十三届武汉电子商务国际会议)(WHICEB2014)

会议地点: 武汉

会议语种:英文

页码: 491-496

在线出版日期: 2014-05-31（万方平台首次上网日期，不代表论文的发表时间）