用主成分插值南非收益率曲线。分析:描述性方法

IF 0.1 Q4 BUSINESS, FINANCE
A. Maitland
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引用次数: 12

摘要

南非收益率曲线的主成分分析表明,两个因素解释了收益率和收益率变化的大部分变异性。该结果用于选择对哪两个利率进行建模,以及在给定这些利率的模型后,如何使用它们来重现整个曲线。本文的目标是一种方法,在给定有限数量的收益率的情况下,对南非收益率曲线进行插值,同时使收益率的数量最小化,从而估计曲线的其余部分。然后,内插曲线可以用于贴现名义未来现金流量。给定所选产量的值,这种方法提供了曲线剩余部分的最佳拟合,因为它最小化了残差的期望均方根误差。本文没有提供收益率曲线演化的模型。关键词主成分;票面收益率曲线;描述性收益率曲线模型;插值;南非(南非精算杂志:2002年2:129-146)
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Interpolating the South African Yield Curve using Principal-Components. Analysis: A Descriptive Approach
A principal-components analysis of the South African yield curve suggests that two factors explain most of the variability in both yields and changes in yields. This result is used to select which two interest rates to model and, given a model for these rates, how to use them to reproduce the entire curve. The objective of this paper is a methodology for interpolating the South African yield curve given a restricted number of yields on that curve, while at the same time minimising the number of yields from which to estimate the remainder of the curve. The interpolated curve can then be used for the purposes of discounting nominal future cash flows. Given values for the selected yields, this methodology provides the best fit to the remainder of the curve in the sense that it minimises the expected root-mean-squared error of the residuals. The paper does not provide a model for the evolution of the yield curve. KEYWORDS Principal components; par yield curve; descriptive yield-curve models; interpolation; South Africa (South African Actuarial Journal: 2002 2: 129-146)
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South African Actuarial Journal
South African Actuarial Journal BUSINESS, FINANCE-
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