ZERO-COUPON YIELD CURVE FOR NIGERIAN BOND MARKET

摘要：

　　The Nigerian bond market has developed to become one of the most liquid in Africa.However,the Nigerian bond market does not have zero-coupon yield curve; it only has yield-to-maturity yield curve.This paper seeks to model zero-coupon yield curve for the Nigerian secondary bond market,using piecewise cubic hermite interpolation.It also compares the existing yield curve with the zero-coupon yield curve to analyze the possible effects of relying on only the existing yield curve for financial market decisions.Data is obtained from the FMDQ OTC.The results show that the yield-to-maturity curve used by the Nigerian bond market generally appears flatter and more linear,relative to the modeled zero-coupon yield curve.We believe the modeled zero-coupon yield curve would be more reliable and accurate for pricing decisions and for monetary policy functions.

关键词： Nigerian bond market zero-coupon yield curve yield-to-maturity curve piecewise cubic hermite interpolation linear interpolation

作者: Victor Curtis Lartey Yao Li

作者单位: School of Management and Economics University of Electronic Science and Technology of China Chengdu, School of Management and Economics University of Electronic Science and Technology of China Chengdu,

会议类型: 国际会议

会议名称: 2018 International Conference on E-Business, Information Management and Computer Science(2018年电子商务、信息管理与计算机科学国际会议)

会议地点: 香港

会议语种:英文

页码: 76-78

在线出版日期: 2018-04-14（万方平台首次上网日期，不代表论文的发表时间）