【摘要】 在息票效应调整前提下,推导了N-S模型的参数估计方法,并对上交所国债市场数据进行拟合,得到N-S模型参数及利率期限结构曲线.在此基础上,应用主成分分析方法研究我国国债即期利率曲线变动的动态特征,发现水平、斜度和凸度是影响利率曲线变动的三个主要因素.更多还原

【Abstract】 This paper has got parametric estimated means of N-S model under the pre-condition of the coupon adjustment.By using the data of Shanghai stock exchange,we estimate the parameters of N-S model and the bond’s term structure curves.By using principal component analysis method to study the factors governing the variation feature of bond’s spot rates curve,we frind that the level,slope and curature are three primary fctors effecting the variation of yield curve.更多还原