Term Structure Of Interest Rates For Fixed Income Products Modeling And Empirical Analysis

In the theory of term structure of interest rates for fixed income products, a very important problem is how to use a more realistic model to predict the price. In this paper, we first present the formula of the price to Vasicek model and CIR model. Then we focus on deduce the relation between CKLS model and CIR model under Girsanov transform, and then we get the explicit solution and precise distribution of CKLS model. By using the pseudo maximum likelihood estimation method, we will do some empirical analysis. We take 1day repo rate between Banks(R001) data,7days repo rate between Banks(R007) data, the treasury data of three-year bonds and the treasury data of ten-year bonds into empirical analysis.In the last part of article, we use the combination of Grey forecasting model and AR model into empirical analysis. Then compare the results with the pseudo maximum likelihood estimation method applied to CKLS model. Finally we find that when we have a large number of known data and we need long-term prediction, the pseudo maximum likelihood estimation method is more accurate. But for small sample or short-term prediction, the combination of Grey forecasting model and AR model is simpler. And there is not so much requirement for the data, the computing workload is also very low.