Study On The Term Structure Of Interest Rate Of Exchange Bond Repurchase Market Based On Vasicek Model

The price of interest as capital is the ratio of borrowing capital to interest.In recent years,with the rapid development of interest rate marketization in China,the practical significance of interest rate research has become more and more important.The study of term structure model of interest rate has very important practical significance for the determination and application of interest rate.The term structure of interest rate represents the level of interest rate corresponding to different bond maturities,which reflects the level of capital supply and demand in capital market and money market.The theory of term structure of interest rate is closely related to many economic factors,and the theory of term structure of interest rate plays an important role in the fields of pricing and risk aversion of financial products.In the first part of this paper,the author briefly introduces the research background and significance of the term structure theory of interest rate,and summarizes the domestic and foreign literatures on the term structure model of static interest rate and the term structure model of dynamic interest rate.It is found that there are few researches on the term structure model of dynamic interest rate in China,and few on multi-factor dynamic model.In the second part,three classical theories of traditional term structure of interest rate are introduced.Then the models and their estimation methods are introduced from two aspects: static term structure of interest rate and dynamic term structure of interest rate.In the third part,the single factor vasicek model and three factor v are introduced.The derivation method of asicek model and its evaluation are given.The Kalman filter principle and the state space representation of three-factor vasicek model are introduced in detail.The fourth part is the empirical part of this paper,first of all,the data of interbank buyout repurchase rate is tested in a descriptive way,and it is found that the overall situation of the data is stable,and then the factors are extracted by factor analysis,and the initial value is determined by regression equation.Finally,the original data is added to the Kalman filter equation to estimate the model parameters.Using the estimated parameters as the basis for pricing the national debt data,we find that the results of this pricing method are quite error.Error correction is needed.After logarithmic processing of the original data,the parameters are estimated by Kalman filter method again,and the estimated three-factor vasicek model is used to carry out the secondary pricing,and the results are compared through the two pricing results.The accuracy of model pricing after error correction has been improved significantly.The conclusions of this paper are as follows: through the descriptive statistical test of interbank buy-back rate data,it is found that the overall situation of the data is stable,and the distribution state of spot interest rate data calculated by static model is similar;The result of factor analysis on the data of buy-out repo rate and bank offered rate shows that the three-factor model can describe the dynamic characteristics of interest rate comprehensively,and estimate the parameter value of interbank buy-back interest rate data by Kalman filter program.The pricing results obtained by the substitution pricing procedure show that the pricing error rate obtained by this method is too large to fit the national debt price very well.After logarithmic changes of the original data,Once again into the Calman filter program,calculate the model parameters of the new value,the Treasury revised pricing results,found the revised pricing error model was reduced greatly,pricing model can improve the accuracy.And for the remaining period of different bonds,short maturity bonds in the price error is simulated using the three factor Vasicek the corrected model compared to the maturity of the bond length,the error rate is smaller.So we can draw,maturity and pricing error rate showed changes in the same direction.When the maturity is short,the error rate is small,and vice versa.