| 基于L1样条与B样条改进的利率期限结构估计优化 |
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| 引用本文： | 吴泽福,吴捷.基于L1样条与B样条改进的利率期限结构估计优化[J].华侨大学学报(哲学社会科学版),2010(2):49-57. |
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| 作者姓名： | 吴泽福 吴捷 |
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| 作者单位： | 1. 华侨大学,工商管理学院,福建,泉州,362021
2. 澳门大学,管理学院,中国,澳门 |
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| 基金项目： | 华侨大学高层次人才科研启动项目 |
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| 摘 要： | 通过比较基本利率期限结构静态估计模式的优劣,着重分析B样条函数贴现拟合方法运用程序的优化途径,通过调节节点数目和定位改进B样条函数对利率期限结构静态估计的误差,构建最小化定价误差的节点组合人工搜索程序,并引入L1样条优化技术进一步放宽B样条函数对贴现函数的二阶平滑要求和克服对节点数目与定位的人工干预,保留了B样条函数刻画长期债券价格变动趋势的优势,增强了对当期债券价格变动特征的估计能力,有效地提高定价精确度和降低贴现函数的过度波动问题。
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| 关 键 词： | 利率期限结构 静态估计 L1样条 B样条改进 |
Optimal Estimation on Term Structure of Interest Rate Based on L1-Spline & B-Spline Revised |
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| WU Ze-fu,WU Jie.Optimal Estimation on Term Structure of Interest Rate Based on L1-Spline & B-Spline Revised[J].Journal of Huaqiao University(Humanities & Social Science),2010(2):49-57. |
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| Authors: | WU Ze-fu WU Jie |
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| Institution: | 1. College of Business Administration, Huaqiao Univ., Quanzhou, 362021, China; 2. Faculty of Business Administration, University of Macau, Macau, China) |
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| Abstract: | By comparing the advantages and disadvantages of the static estimation patterns of term structure of interest rate, we concentrated on improving B-spline function estimation method, which involved estimation optimization programs, spot numbers and location, artificial search program of spot portfolio. To overcome the subjective effect of B-spline spot distri- bution and C2 smooth condition of discount function, L1 -spline optimization technology was introduced to increase the esti- mation ability of current bond price＇s variability characteristics, reserve the advantage on depicting the long term price trend, and reduce the excessive volatility of discount function. |
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| Keywords: | term structure of interest rate static estimation L1-spline B-spline revised |
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