An Experimental Analysis Of The Term Structure Of Interest Rate And The Pricing Of Fixed-income Securities

Interest rate is a basic variable of financial market. The term structure of interest rate reflects the market participants’ expectation of the future changes of interest rate. It serves as a basic reference for product innovation in capital market, risk prevention in financial market, and policy making monetary market. Therefore, study of the variation trend of the interest rate, as well as the observation, analysis and prediction of the rules governing this variation has drawn much attention. From a quantitative perspective, this is a matter of how to construct a fitting term structure of interest rate, of how to build a reasonable and efficient mathematical model for it. The term structure of interest rate is of great significance for preventing risks in market interest rate, for enhancing the effectiveness of market mechanism, and for promoting the development of the financial market.This thesis first briefly introduces some traditional theories of term structure of interest rate. Then, based on the trade data of inter-bank bond market in our country, it constructs the term structure of interest rate for the national debt of our country with such methods as the bootstrap method, the spline methods, the N-S model, the CIR model, PB and the RBF neural network method. Finally, according to this, it attempts to set price for our national debt. Meanwhile, according to fitting accuracy of each model and the efficiency for pricing, it assesses and compares every model and tries to find out a term structure model of interest rate that best fits our bond market. It also simulates a curve of interest rate for our market economy which provides a basis for the pricing of financial product, risk prevention in the financial market and macro-control in our country.