基于一种修正Vasicek模型的国债定价研究

A Study of Treasury Bonds Pricing Based on a Modified Vasicek Model

在对国内外国债定价相关文献梳理的基础上,提出了一种非线性的Vasicek修正模型,并对模型进行OLS和蒙特卡罗模拟检验。将模型应用于国债定价分析,并在对影响国债定价误差的流动性溢价等因素量化的基础上对国债定价进行误差修正。研究结果表明,利率模型的漂移函数具有显著的非线性特征;修正Vasicek模型比原Vasicek模型估计效果更显著、蒙特卡罗模拟误差更小;修正Vasicek模型的国债定价误差与剩余期限存在显著的二次函数关系,利用这一关系对国债定价误差修正的结果比较理想。

Based on related articles on treasury bond pricing at home and abroad, we submit a nonlinear Modified Vasicek Model and test it by OLS and Monte Carlo simulation, then apply it to analyzing the treastrry bond pricing, and finally correct the pricing error by quantizing liquidity overflow. The results show that ： （ 1 ） The drift function of interest rate model has a significant nonlinear characteristic ; （ 2 ） The modified Vasicek model shows more significant estimation effect and less Monte Carlo simulation errors than the original Vasicek model; （3）There is a significant relationship of quadratic function between the pricing error and residual maturity, the application of which results in an ideal correction of pricing error.