利率期限结构的一致性

The Consistence on Term Structure of Interest Rates

研究广义 Vasiek利率期限结构模型的一致性问题 ,获得为使该模型与实际即期利率期限结构匹配 ,短期利率的参数和初始结构应满足的条件 。

In this paper some of models on term structure of interest rates(TSOIR) are studied. We first discuss consistence of the generalized Vasieck model on TSOIR, and obtain the conditions for the related parameters of the specified short rate to satisfy in order that the related TSOIR matches the given initial one. It is then shown that a restriction to the FH TSOIR model could be removed and the model could be generalized.