Modelling term structure of interest rates based on rational interpolation function
JING Ke1,2, LIU Yezheng1, KANG Ning1
1. School of Management, Hefei University of Technology, Hefei 230009, China; 2. School of Mathematics and Statistics, Fuyang Normal University, Fuyang 236037, China
Abstract：Based on the barycentric rational interpolation, we propose a new model to fit the term structure of interest rates, which include construction of basis function, parameter estimation, knot selection and model forecasting. Compared with the traditional models, the new model has at least four advantages. Firstly, it has higher smoothness in fitting interest curve. Secondly, it has lower computational complexity in estimating parameters. Thirdly, it has richer economic significance of estimation parameters. And lastly, it has higher prediction accuracy. Our empirical results are based on the term structure of treasury bills in Shanghai Stock Exchange, and the results show that the new model not only has better performance in structure analysis, computational complexity, prediction capability and economic significance, but also improve the fitting and pricing accuracy of bonds.
荆科, 刘业政, 康宁. 基于有理插值函数的利率期限结构模型[J]. 系统工程理论与实践, 2017, 37(1): 132-139.
JING Ke, LIU Yezheng, KANG Ning. Modelling term structure of interest rates based on rational interpolation function. Systems Engineering - Theory & Practice, 2017, 37(1): 132-139.
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2017, Vol. 37 
