Title: Term structure analysis based on a static model of inter-bank bond market
Authors: Feihang Wang; Feiting Wang; Li Zhang
Addresses: School of Economics and Management, Lanzhou University of Technology, China ' School of Economics and Management, Lanzhou University of Technology, China ' School of Economics and Management, Lanzhou University of Technology, China
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.
Keywords: term structure; interest rates; spot rates; polynomial spline; Svensson model; static modelling; inter-bank bond markets; bond transactions; China.
DOI: 10.1504/IJSTM.2016.077655
International Journal of Services Technology and Management, 2016 Vol.22 No.1/2, pp.63 - 73
Published online: 12 Jul 2016 *
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