Fitting the Yield Curve of Taiwan Government Bonds
碩士 === 長庚大學 === 管理學研究所 === 88 === The purpose of this thesis is to fit the yield curves of Taiwan Government bonds by using Schumaker''s (1983) shape-preserving quadratic spline interpolation. To justify the use of shape-preserving quadratic spline interpolation in curve fitting, we first...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61461010765735337323 |
| Summary: | 碩士 === 長庚大學 === 管理學研究所 === 88 === The purpose of this thesis is to fit the yield curves of Taiwan Government bonds by using Schumaker''s (1983) shape-preserving quadratic spline interpolation. To justify the use of shape-preserving quadratic spline interpolation in curve fitting, we first use Nelson & Siegel''s (1987) model to verify the upward sloping of the yield curves of Taiwan Government bonds from January, 1996 to June, 1997. We then compare the shape-preserving quadratic spline interpolation with four most frequently used models by empirical study. The results show that shape-preserving quadratic spline interpolation outperforms the others in the sense that it not only works pretty straightforward but also achieves the lowest average approximation error in fitting the yield curves.
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