Approximating term structure of interest rates using cubic L1 splines

被引：14

作者：

Chiu, Nan-Chieh

Fang, Shu-Cherng

Lavery, John E.

Lin, Jen-Yen

Wang, Yong ^{[1
]}

机构：

[1] SAS Inst Inc, Cary, NC 27513 USA

[2] Natl Chaiyi Univ, Chiayi City 60004, Taiwan

[3] Army Res Lab, Army Res Off, Div Math, Res Triangle Pk, NC 27709 USA

[4] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China

[5] Tsinghua Univ, Dept Ind Engn, Beijing 100084, Peoples R China

[6] N Carolina State Univ, Raleigh, NC 27695 USA

[7] Polaris Securites, Fixed Income Div, Taipei 106, Taiwan

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2008年 / 184卷 / 03期

基金：

美国国家科学基金会;

关键词：

B-spline; finance; geometric programming; L-1; spline; term structure;

D O I：

10.1016/j.ejor.2006.12.008

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Classical spline fitting methods for estimating the term structure of interest rates have been criticized for generating highly fluctuating fitting curves for bond price and discount function. In addition, the performance of these methods usually relies heavily on parameter tuning involving human judgement. To overcome these drawbacks, a recently developed cubic L-1 spline model is proposed for term structure analysis. Cubic L-1 splines preserve the shape of the data, exhibit no extraneous oscillation and have small fitting errors. Cubic L-1 splines are tested using a set of real financial data and compared with the widely used B-splines. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：990 / 1004

页数：15

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