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Term Structure Modelling by Using Nelson-Siegel Model
Nelson-Siegel model Nonlinear least squares Yield curve estimation
2016/1/27
Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal w...
利率期限结构是利率产品定价的基础和核心,对利率市场化具有重要意义。根据我国债券市场的特点,本文对动态Nelson-Siegel模型进行扩展,引入第二个斜率因子,构造双斜率因子动态利率期限结构模型,增强收益率曲线近端的静态拟合和动态预测能力。本文提出的模型嵌套了动态Nelson-Siegel模型,是对动态Nelson-Siegel模型的实质性推广,极大似然比检验证明了第二个斜率因子引入的必要性。本文...