计算机应用与软件2016，Vol.33Issue(6)：92-95,4.DOI:10.3969/j.issn.1000-386x.2016.06.023
样条函数在构造债券收益率曲线中的应用
APPLICATION OF SPLINE FUNCTION IN CONSTRUCTING BOND YIELD CURVE
摘要
Abstract
In light of the miscellaneous quotation data in bond market,we proposed to apply the DBSCAN algorithm to constructing the spline function of bond yield curve.By employing DBSCAN algorithm to the cluster analysis of the quotation data,which is used to construct bond yield curve,it is able to eliminate effectively the abnormal transaction data on the market.On the basis of cluster analysis results,we used the DBSCAN algorithm once again to construct the bond yield curve,and segmented the spline function into sections according to the dense regions of quotation data on the market.Besides,targeted at the defect of traditional way that it selects the segment points of spline function of bond yield curve depending on experience,the use of DBSCAN algorithm can effectively improve the conformance between the bond yield curve and the bond quotation data.From the experimental results it is illustrated that to apply the DBSCAN algorithm to constructing the spline function of bond yield curve can improve the effects of reflecting the fluctuations of interest term structure by bond yield curve and its accuracy.关键词
债券收益率曲线/样条函数/聚类分析/DBSCAN算法/利率期限结构Key words
Bond yield curve/Spline function/Cluster analysis/DBSCAN algorithm/Interest term structure分类
信息技术与安全科学引用本文复制引用
杨柳..样条函数在构造债券收益率曲线中的应用[J].计算机应用与软件,2016,33(6):92-95,4.
