Polynomial Spline Function Applied to Treasury Bonds Term Structure Research

摘要

In the interest rates liberalization economy, term structure of interest rate curve is the basis of derivative pricing, and the important tool of interest rate risk management, investment analysis and portfolio management and the monetary policy analysis. With the increasingly open financial market and accelerated interest rates liberalization, structure an integrated, scientific term structure of interest rate curve become more and more important. This article takes term structure of interest rate datum of bond price in the Shanghai Securities Exchange as examples and uses polynomial splines method to structure and analyze the national debt yield curve of our country.