The Static Analysis Of Interest Rate Term Structure For Our Country Bond Market

The market of our national bond has developed for about twenty years. But with thenew condition of WTO and the market economy, our national bond market still exists a lotof problems that need to resolve immediately. To consummate the function mechanism ofnational bond market, scientific pricing for various different terms bonds, the estimationand analysis to national bond interest rate term structure become quite important. Today, there are many theories, models for the fixed-income security interest rate termstructure, including some analysis based on stochastic process. However, when thesetheories and models applied to our country, there will appear something unreasonable moreor less, especially for the estimation to our national bond interest rate term structure. So, inthis paper, we apply two successful models on the estimation of national bond interest rateterm structure. Next, we get some conclusions based on the situation of our country. The article fist introduces and analyses the interest rate term structure modelsprevailed in world. Then it begins to study the two models that will be used in thedemonstration facet. After that, the article analyses twenty-two homogenous national bondsin Shanghai Security Exchange Bourse and educes the corresponding interest rate curve,theory price and the price difference from the true price. The main estimation methods weused are GLM and nonlinear optimization. Besides these, this thesis still contrasts theconclusions between the two models by SAS8.1 and points out which model is more fit toour country national bond market. Finally, from the conclusions of estimation models, the author summarizes somepresently problems in our national market and put forward some feasible advice.