基于VRP方法的上交所国债利率期限结构拟合模型

VRP fitting model for the term structure of SSE T-bonds

针对一般样条方法在拟合利率期限结构时远期收益曲线振荡过大的缺陷,在差商定义三次B样条函数的基础上,设定债券组合的权重,采用包含可变惩罚项的VRP方法,构造了上交所国债利率期限结构拟合模型,该模型提高了拟合计算效率,具有较高的精确性和平滑性,较为方便的拟合了即期利率与远期利率,可以作为估计我国的利率期限结构的有效方法,

Contraposing the high oscillation of the forward yield curve fitted by the general spline functions, basing on the cubic B-spline function defined by difference quotient, designing the weights of treasury bonds, and using the VRP method, this paper develops a fitting model on the term structure of SEE T-bonds. The model improves the calculating efficiency of fitting, performances good in accuracy and smoothness, is simple for fitting the spot rate and the forward rate, and can be an effective method for fitting Chinese yield curve.