April 2014
Beginner to intermediate
830 pages
15h 21m
Chinese
Content preview from Mathematica 錦囊妙計
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562
|
第十四章
以下的
Manipulate
指令使用擬合曲線作為初始狀態，你可以任意變動這些參數以了解其
作用。[Page-564]
ch14.indd 562 2014/4/2 下午 02:58:53
14.5 建構殖利率曲線（Yield Curve）
|
563
討論說明
Svensson 模型是 Nelson-Siegel 模型 的延 伸， 其考 慮劇 烈 變動 之殖 利率所 導致 的凸性
（convexity）與誤差，原因來自於價格與殖利率的非線性關係，殖利率下降導致的資本
增益較相同程度的殖利率上升導致的資本損失來得大。[Page-565]
當給定遠期曲線的 Svensson 模型時，可使用 Mathematica 的符號積分功能獲得零息票
（或現貨）模型。
以上所示方法即是所謂的參數法（parametric method，即參數本身具有實質意義），此
外還有非參數法，其使用多項式或其他內插函數（如 tension splines）作為擬合的目標
函數，詳見「延伸資訊」的參考資料。
延伸資訊
本文根據 Charles R. Nelson 與 Andrew F. Siegel 所合著的論文：《
Parsimonious Modeling
of Yield Curves
》（
Journal of Business ...
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