Term structure analysis based on a static model of inter-bank bond market
by Feihang Wang; Feiting Wang; Li Zhang
International Journal of Services Technology and Management (IJSTM), Vol. 22, No. 1/2, 2016

Abstract: The term structure of interest rates has been a hot topic in the financial sector. With the accelerating process of interest rate liberalisation, to seek a representative benchmark interest rate of the market is basis for the fixed income products pricing. This paper using Nelson-Siegel-Svensson model and polynomial spline model fitting analysis is carried out on bond transaction data of inter-bank in China, through analysis and comparison of the two models, to choose the appropriate method to fit the term structure of interest rates.

Online publication date: Tue, 12-Jul-2016

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