Research On The Non-arbitrage Rate Curve Models Based On Chinese Treasury Bond

In finance,the most important issue is the Asset Pricing and its Risk Assessment(and Management),while asset pricing and risk Assessment come from the effective constructions of corresponding asset's interest rate term structure curve.Especially in the current bond market the transaction is not very sufficient,how to build the bond market's "Bond yield Term Structure Curve" to "Bond's Spot Rate Term Structure Curve" is extremely important issue.The goal of this dissertation is as follows:Under the general framework for bond markets,we establish a comprehensive method to support "Bond yield Term Structure Curve" convert to " Bond's Spot Rate Term Structure Curve" and forth and back.First,this dissertation introduces the basic market situation and the re-search results both at home and abroad.It is imperative for a financial product to understand its market regulators,trading rules,participants,and conven-tions etc.Secondly,we introduce three theories of interest rate term structure and construction models both from financial and mathematical aspect.The third chapter is the focus of the paper which contains the correspond-ing innovation.We first unify the static model of the interest rate curve into a framework and put forward a method to judge whether there are arbitrage conditions in Chinese bond market which is the original job.The basic idea of no-arbitrage rate curve is that instantaneous forward rate is greater than zero.We creatively add non-arbitrage conditions into static models.The model-s discussed in this article are different from the previous traditional models used in academic discussions and industry.The empirical analysis should clarify the model settings for readers to refactor the model.We choose the recent data of the Shanghai Stock Exchange and draw a more comprehensive interest rate surface,avoiding the occasional conclusion get from particular trading days.The subsequent research/study can be extended to improve static mod-el and supports derivatives pricing models by considering weighted objective functions,parameter significance,commission tax and other factors and so on.