二次项利率期限结构理论与模型

Quadratic Term Structure Theory and Model of Interest Rates

近些年动态利率期限结构的研究得到了长足的发展,为解决大部分利率衍生品的定价问题提供了一个定型的解决办法。但是未涵盖的波动率的存在使得许多动态利率期限结构模型并不能完全满足当前利率衍生产品定价和套期保值的需要。本文在对二次项期限结构模型的设定及估计方法分析的基础上,运用该模型对LIBOR零息债券进行模拟和估计,结果发现QTSMs能够很好的拟合LIBOR债券的收益率。从而试图为利率衍生品的定价和套期保值提供一个可借鉴的方法。

In recent years,dynamic term structure of interest rates has a significant development,and it provides a method to solve the pricing of interest rate derivatives.However,because of the uncovered volatility,lots of the dynamic term structure models of interest rates cannot completely meet the needs of pricing and hedging of interest rate derivatives.This paper analyses the setting and estimation method of quadratic term structure model in details,simulates and estimates LIBOR zero coupon bonds based on the model.We have found that QTSMs can fit the yields of LIBOR bond very well.This study provides a referencemethod for the pricing and hedging of interest rate derivatives for reference.