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作者:

Zeng Shihong (Zeng Shihong.) | Xia Liang (Xia Liang.)

收录:

CPCI-S CPCI-SSH

摘要:

The term structure of interest rates static fitting curve refers to the use of different types of mathematical function to describe the yield curve of interest rate The most popular method of static fitting is to use a B-spline curve to fit the yield curve of interest rate However, this method is often subject to restrictions on the order So, usually the fitting is on the third order Using a special form B-spline curve what is Bezier curve, we get the term structure of interest rate curve of government bonds for China, the United States and Japan We get a fitting method to change the orders of curve easily Meanwhile, the complex curve fitting calculation, simplified to cluster analysis of the scattered points

关键词:

Beizer curves B-spline clustering analysis Interpolation The term structure of interest rate

作者机构:

  • [ 1 ] [Zeng Shihong]Beijing Univ Technol, Finance Dept Econ, Sch Management, Beijing 100124, Peoples R China
  • [ 2 ] [Xia Liang]Beijing Univ Technol, Finance Dept Econ, Sch Management, Beijing 100124, Peoples R China

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来源 :

PROCEEDINGS OF 2010 INTERNATIONAL CONFERENCE ON REGIONAL MANAGEMENT SCIENCE AND ENGINEERING

年份: 2010

页码: 458-462

语种: 英文

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