The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the China’s bond market and its mechanism. Based on the data from China Central Depository & Clearing (CCDC), article gives the result of the computer simulation.
We present a nonparametric method for fitting the term structure of interest rates from bond prices. Our method is a variant of the smoothing spline approach, but within our framework we are able to determine the smoothing coefficient automatically from data using the generalized cross-validation or maximum likelihood estimates. We present an effective numerical algorithm to simultaneously find the term structure and the optimal smoothing coefficient. Finally, we compare the proposed nonparametric fitting method with other parametric and nonparametric methods to find its superior performance. We find that existing term structure fitting methods perform well in liquid markets while illiquid markets present new challenges, which we address in this article.
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the exist research from 1997 to 2010. Based on the data from China Central Depository & Clearing (CCDC), article gives the computer simulation result of the Hermite interpolation