B-spline Method Constructing Theoretical Treasury Yield Curves Theory With Practice

Treasury notes term structure of interest rate, that is the yield of treasury notes with expire the relation of the term, also be called the yield curve of treasury notes. The yield curve of treasury notes is all list price bases of bonds, is an investor the analytical tool of the indispensability, in the meantime, publish treasury notes for the government, strengthen the treasury notes management, carry out monetary policy and regulate interest rate to provide an important basis. Along with the our country treasury notes term structure of continuously perfect, usage the science method to structure the yield curve of treasury notes has important meaning more. Introduced to want the B-spline theory foundation knowledge for use in the text first, elaborated the interest rate term structure theories immediately after, and compare three theories apply scope and theories foundation. Connected down to describe structure the model of the yield curve of treasury notes, mainly introduced the spline to regress method and model to regress method. Four models are used to regress treasury notes yield curve, which indicates the B-spline model can best regress the yield curve. But cubic B-spline method structure the yield curve of treasury notes distribute to the node with to compare with sensitive, the node quantity causes a vibration easily, especially while construct the forward rate curve. In order to overcome these weaknesses, we use quartic B-spline structure the yield curve, which indicates the less node cubic B-spline model is better under the situation that do not use the forward rate curve, if need to make use of forward rate curve to carry on the economy analysis, the suggestion use quartic B-spline method. At last, carried on the dynamic analysis to the yield curve of treasury notes, combine currently economic environment, thinks that the up-trend of the yield curve reflected a macroscopic economic growth an economy at fever pitch, the interest rate will rise in the future of total trend.