指数样条和有理插值在零息票债券定价中的应用

Application of exponential splines and rational interpolation to the pricing of zero-coupon bonds

文章介绍了贴现函数的定义,对贴现函数性质进行了研究,综述了逼近它的几种方法;然后,在相关研究的基础上,针对贴现函数性质,引入指数样条和有理插值,提供了一种逼近和计算贴现函数的新方法,并给出一个实例说明方法的有效性。

Based on the introduction of the definition of the discount function, its property and several approximating methods,the exponential spline and rational interpolation are applied to calculation and approximation of the discount factor. An application example is presented to show the effectiveness of the presented method.