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Author:

Zeng Shihong (Zeng Shihong.) | Xia Liang (Xia Liang.)

Indexed by:

CPCI-S CPCI-SSH

Abstract:

The term structure of interest rates static fitting curve refers to the use of different types of mathematical function to describe the yield curve of interest rate The most popular method of static fitting is to use a B-spline curve to fit the yield curve of interest rate However, this method is often subject to restrictions on the order So, usually the fitting is on the third order Using a special form B-spline curve what is Bezier curve, we get the term structure of interest rate curve of government bonds for China, the United States and Japan We get a fitting method to change the orders of curve easily Meanwhile, the complex curve fitting calculation, simplified to cluster analysis of the scattered points

Keyword:

B-spline Interpolation clustering analysis The term structure of interest rate Beizer curves

Author Community:

  • [ 1 ] [Zeng Shihong]Beijing Univ Technol, Finance Dept Econ, Sch Management, Beijing 100124, Peoples R China
  • [ 2 ] [Xia Liang]Beijing Univ Technol, Finance Dept Econ, Sch Management, Beijing 100124, Peoples R China

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Source :

PROCEEDINGS OF 2010 INTERNATIONAL CONFERENCE ON REGIONAL MANAGEMENT SCIENCE AND ENGINEERING

Year: 2010

Page: 458-462

Language: English

Cited Count:

WoS CC Cited Count: 0

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 6

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