Estimating term structure using nonlinear splines: A penalized likelihood approach
Estimating term structure using nonlinear splines: A penalized likelihood approach
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发表时间：
2005-12
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通讯作者：
Y. Kawasaki;T. Ando
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作者：
Y. Kawasaki;T. Ando
在实践中，基于样条的模型被广泛用于从一组观察到的息票债券价格估计利率的期限结构。最流行的方法可以追溯到McCulloch（1971）。假设债券的价格等于其未来息票支付和赎回的现值，现金流量在一组基函数上回归，以估计贴现函数。一旦估计了贴现率函数，就可以通过对贴现率函数的变换得到零息收益率和远期利率。尽管这种方法被许多研究人员所采用，但也报道了一些严重的缺陷。
The spline-based models are widely used in practice to estimate the term structure of interest rates from a set of observed coupon-bond prices. The most popular method can be traced back to McCulloch (1971). Assuming that the price of a bond is equal to the present value of its future coupon payments and redemption, cash flows are regressed on a set of basis functions to estimate discount functions. Once the discount function is estimated, the zerocoupon yield and the forward rate can be obtained by transformations of the discount function. Though this method was followed by a lot of researchers, some serious drawbacks have been reported.