基于三次样条函数的国债收益率曲线的重构

Another Method of Structure of the Yield Curve of Treasury Notes

如何合理有效构建国债收益率曲线是一个传统的固定收益产品定价问题。现有文献在使用三次样条函数构建国债收益率曲线时一般没有直接使用债券到期时间及其相应的收益率两个重要信息。本文通过收益率曲线直接使用到期前不再付息的国债的到期时间及其相应的收益率,给出了更为合理的债券定价公式,在此基础上,推导出了一种基于三次样条函数的国债收益率曲线简化构建方法。与传统方法相比较,该简化构建方法对信息的利用更充分,也减少了一个待估参数。本文的有效性实证结果表明,该简化构建方法得到的收益率曲线比较合理。

Structure of the yield curve of treasury notes is a tradition research question of finance.The curve describe the relationship between term to maturity and yield to maturity. Existing literatures that use the way of cubic spline function to structure the curve doesn＇t directly use the zero-coupon treasury notes information. This paper give another way of sturcture based on the cubic spline function.This way more fully use the sample information and reduce a parameter.And the artical give another method of the formula for pricing bonds. The new formula better than the formula in some existing literatures.