Modelling of Yield Curve for Ghana Bond Market
The bond market is an important part of the financial market of Ghana. Even though zero-coupon yield curve is an important tool used in secondary bond markets, there is no observed zero-coupon yield curve in the secondary bond market of Ghana. The purpose of this paper is to model the zero coupon yield curve for Ghana Government bond market. We extract the yields from the daily bond price data available on the secondary bond market, and then use piecewise cubic hermite interpolation to fit the yield curve. The bond price data is obtained from the Central Securities Depository of Ghana. The study seeks to solve the problem of non-availability of observed zerocoupon yield curve in the secondary bond market of Ghana. This work also serves as a fundamental preparation for developing a database of daily yield curves for the Government bonds.
Yield curve Piecewise cubic hermite Term structure Interest rates Ghana bond market
LARTEY Victor Curtis LI Yao
Faculty of Business and Management Studies, Koforidua Technical University, Koforidua, Ghana,P.O.BOX Center for West African Studies of University of Electronic Science and Technology of China,Chengdu,
国际会议
加纳
英文
933-946
2017-11-01（万方平台首次上网日期，不代表论文的发表时间）