基于带有惩罚项的三次多项式样条函数对国债利率期限结构的分析-金融学专业论文.docxVIP

安徽 安徽财经大学硕士学位论文 PAGE PAGE III PAGE PAGE VI BASED ON THREE SEVERAL STYLE FUNCTION WITH PENALTY TERM STUDY OF NATIONAL DEBT TERM STRUCTURE OF INTEREST RATES ABSTRACT In the domestic and foreign scholars, there are two main aspects to research on term structure of interest rates, One is qualitative aspects; Another is the quantitative aspect. Qalitative aspects mainly have three theory as the support, One is the expectation theory, another is the liquidity preference theory, the last one is market segmentation theory. In recent years, more and more scholars like to use the method of measurement research term structure problem, many quantitative model is established. In our country, compared with the fast development of equity financing market, bond market is slow. As the connection of money market and stock market, the present state of development of the bond market is not satisfying, also it cant meet the demand of bond financing of enterprises. But we should be able to see our country’s bond market has great potentiential for development. Just now bond variety is more onefold,the corresponding research is not perfect, Chinas bond market also has a lot of problems. So, deepen research fit the term structure model of the economic and financial environment in China, has very important practical significance. In the term structure research of the past, usually is first to find out the market value of the bonds, then find a function fitting the theoretical value of the bonds, the market value and theoretical value of minimum residual sum of squares. Build a model, through the existing debt market, a large number of data, mainly has maturity, closing price, etc.Calculation of the discount function parameters. There are a lot of function can be used as base function to fitting the discount function, the spline function is one of the most popular function is adopted by many scholars. Main reason is pointed out that the smoothness of spline function is very good, so can