Application Of Affine Term Models In Chinese Market

Interest rate is the most essential and important variable of the financial activities.lt is fundamental to a nation’s people and decides the price of the capital.Term structure interest rates means that the relationship between the yields and maturities of different capitals point-in-time.In the financial market which is grown,the term structure of inter-est rates is a financial instrument,especially in financial derivatives and fixed-income securities.So people focus on it and use it widely.First,we introduce the meaning of searching the term structure interest rates and some theories about it.Second,mainly,we study affine term structure model and get some conclusion about it.Last,we use the model in Chinese market for getting results and analysing.It shows that in dynamic research,if we adopt GMM method,Vasicek and CIR models can explain some phenomena of Chinese inter-bank interest rate market in certain extent.What’s more, there’s less volatility in Vasicek model.