摘要
针对线形规划利率期限结构模型只能得到离散贴现率,提出利用多项式插值方法拟合出连续光滑的利率期限结构。并依据样本内外国债信息把它与多项式样条函数模型进行了实证比较,前者的价格相对误差分别为0.45%和1.51%,后者分别为4.18%和4.5%。结果表明线性规划利率期限结构模型与多项式插值相结合的方法在拟合我国利率期限结构方面具有一定优势。
The polynomial interpolation method is proposed to fit continuous and smooth term structure because only discrete discount rates can be gained by the linear programming term structure model of interest rate. The results of the empirical comparison between the continuous linear programming model and polynomial spline function made by the out of and in sample bonds information show that the relative errors of former are 0.45% and 1.15% respectively, and the relative errors of latter are 4.18% and 4.5% respectively. The results also prove that the integration of the linear programming model and polynomial interpolation is suitable to fit the term structure of Shanghai Stock Market in China.
出处
《运筹与管理》
CSCD
北大核心
2009年第2期30-34,共5页
Operations Research and Management Science
基金
国家自然科学基金资助项目(70701003)
关键词
金融工程
利率期限结构
线性规划
多项式插值
多项式样条函数
financial engineering
term structure of interest rate
linear programming model
polynomial interpolation
polynomial spline function
