期限结构

利率期限结构（termstructure），是某个时点不同期限的利率所组成的一条曲线。

Term Structure is the curve formed by interest rates of different maturities .

对利率期限结构的估计可以有许多方法，其中包括息票剥离法（BootStrapMethod）和样条估计法（splineApproximation）。

There exist many methods to estimate to term structure , which include the bootstrap method and spline approximation .

市场化要求优化现有的期限结构、所有权结构、品种结构、利率结构等

It requires consummating the structures of deadline , ownership variety and interest rate .

基于B样条对国债利率期限结构的实证研究

Fitting the Term Structure of Interest Rate of Bond with B Spline

修正的FH利率期限结构模型

A Note on the FH Model of Interest Term Structure

中国加入WTO必将大大加快金融市场的发展，为应对这种挑战，本文对利率期限结构模型进行了理论分析和实证估计。

Since the entering of WTO will hasten the development of China financial market greatly , we need an analysis of term structure models for China .

因此，本文主要采用了DNS模型来对利率期限结构曲线进行拟合。

Therefore , this paper mainly uses the DNS model to fit the term structure curve .

但本文建议基于较高的稳定性，Powell的B样条函数拟合的利率期限结构可以作为参照。

In addition , the term structure fitting using Powell B-spline function can be used as the reference because of its higher stability .

基于VRP方法的上交所国债利率期限结构拟合模型

VRP fitting model for the term structure of SSE T-bonds

时变参数N-S期限结构模型的主微分分析及其实证研究

Principal Differential Analysis of the Time Varying N-S Term Structure Model and Its Empirical Study

骑乘收益率曲线策略的研究基于对利率期限结构的分析，本文使用了B样条拟合国债隐含的利率期限结构，并比较了策略在不同期限的债券、不同持有期的情况下的不同表现。

For analyzing the term structure in Riding the yield curve , B-spline is used to fit the interest rate term structure implied by treasury bonds . Performance is compared between bonds with different maturity and different holding period .

以B样条为基点，综合研究利率期限结构的样条估计模型，对多种样条模型进行理论推导和参数估计求解，并在此基础上做出实证比较分析。

Using the B-spline basis , this paper presents a comprehensive research on the spline-based estimation models of the term structure of interest rates . Theoretical derivation and parameters ' estimation are given , based on which an empirical comparison is made furthermore .

Granger因果关系检验结果表明，利率期限结构的倾斜度变量和水平因子变量蕴含着货币政策的信息。

According to the result of Granger Causality Test , the slope and level factor in term structure of interest rate implies the information about monetary policy .

此外，结果表明不同到期日利率期限结构可由缩压的马尔科夫区制转移CKLS模型获得。

Additionally , the results show that the term structure of interest rates of different maturities can be obtained with the nested Markov regime switching CKLS model .

实证表明估计出的CIR模型可以用于上交所债券的定价，但用于利率期限结构变化的预测会产生一定的系统偏差。

It is concluded that the estimated CIR model can be used to price bonds in the SSE , but it will cause some error when it is used to predict the change of yield curves .

在利率市场化的大背景下，其他期限结构的SHIBOR交易将会不断增加，关于同业拆借市场利率风险的度量需要改进模型，采用多元化的copula函数模型。

In the interest rate market backdrop , the term structure SHIBOR other transactions will continue to increase interest rates on the interbank market risk measurement model needs to be improved , using a wide range of copula function model .

在CKLS模型的基础上，笔者提出了一个加入跳跃过程的单因子利率期限结构模型。

In this paper , based on the model of CKLS , we develop a new one-factor term structure model of interest rates , which allows for jumps in interest rates .

首先，本文综述了主要的期限结构理论和模型以及零息债券定价理论，着重介绍了本文实证所估计的CKLS模型；

In this paper , I first review the theory and models of term structure of interest rates and the pricing theory of the zero-coupon bond , the CKLS model is greatly examined .

借助KMV模型求解预期违约距离的框架，并通过构造混合期限结构下增长因子的连续期望收益函数，系统建立了连续融资下多风险驱动因素与信用风险之间的结构性的规范关系。

By means of a continual profit function under expected return rate and mixed time structure , the normative ( relationships ) between multi driving factors and default risk are systematically built with considering continually financing ( in the ) framework of KMV model 's solving expected default distance .

基于Hull-White随机利率模型，导出了反映利率风险和市场风险的可转换债券定价的双因素模型，Hull-White模型的优点在于能够自动适应于当前的期限结构。

Thirdly a dual factors model is deduced , which integrate the interest rate risk and market risk . The stochastic interest rate is characterized as the Hull-White model , which has an advantage of fixing the current term structure exactly .

本文尝试寻找一种更多的利用市场即时信息的定价方法对利率期限结构进行研究，应用三叉树模拟技术构建Hull-White模型，并对当前中国债券市场上几种常用利率进行比较分析。

This paper tries to find a way to study the interest term structure of Chinese bond market with more market information . It focuses on the application of the tree model method and builds a Hull-White model to simulate the dynamic term structure .

本文首先使用Nelson-Siegel模型拟合出2002年沪深交易所国债的利率期限结构，然后运用2因子、3因子主成分法及久期、凸度法对交易所上市的债券进行模拟套期保值。

By using Nelson - Siegel model , the paper derives the term structures for bonds in Shanghai & Shenzhen Security Exchange in 2002 , and use two - and three - principal components as well as traditional duration and convexity to simulate a hedging of portfolios .

在现有研究的基础上，本文试图基于Nelson-Siegel模型对我国国债利率期限结构的拟合和预测进行理论和实证研究。首先，本文对Nelson-Siegel模型进行修正，将国债供给因素加入其中。

Following the present researches , this thesis tries to do some systematic researches on fitting and forecasting the term structure of interest rate of government bonds in China , based on the Nelson-Siegel model . Firstly , we modify the Nelson-Siegel model by adding the government bond supply factor .

应用M-T-M模型，根据考虑了住房贷款提前清偿风险、国债市场利率期限结构的住房贷款价值的变动情况对贷款初期利率进行年度的定价调整。

As the basis ; ( 2 ) To adjust the subsequently annual mortgage loan interest rate by using M-T-M model to confirm the alteration of value of the mortgage loan which related with the prepayment risk and term structure of interest rate in national debt market .

债券市场利率期限结构分析及其风险管理研究

Term Structure and Interest Rate Risk Management in Chinese Bond Markets

债权期限结构影响因素的文献综述

Review of the Determinant Factors of Firm 's Debt Maturity structure

期货价格的期限结构平稳波动模型

Stationary Model of Fluctuation in the term structure of Futures Prices

随机波动利率期限结构的有效矩估计

Efficient Moment Estimation for Stochastic Volatility Term Structure of Interest Rate

随机均值短期利率期限结构模型与均衡

Stochastic Mean-Value Term Structure Model of Short-Term Interest Rate and Equilibrium

债务期限结构研究：文献述评与研究展望

Research on Debt Maturity Structure : Literature Review and Research Prospect