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SYSTEM AND METHOD FOR GENERATING BOND YIELD RATE CURVE AND INDEX

机译:产生债券收益率曲线和指数的系统和方法

摘要

A system and method for generating bond yield rate curve and index, includes: Collects bond actual trading data and estimating data; According to the collected bond actual trading data and estimating data, determines a reasonable yield rate sample point for each standard repayment term; According to the determined sample point, calculates yield rate value corresponding to any repayment term on the acquired yield rate curve by using Hermite interpolation model; Calculates estimation of the bond price by using the obtained yield rate value; And according to the obtained result of estimation and index value corresponding to the previous day, calculates wealth index value, total price index value and net price index value of the bond index, respectively.
机译:一种生成债券收益率曲线和指数的系统和方法,包括:收集债券实际交易数据和估算数据;根据收集到的债券实际交易数据和估算数据,确定每个标准还款期的合理收益率样本点;根据确定的样本点,采用Hermite插值模型,计算获取的收益率曲线上任意还款期的收益率值;使用获得的收益率值来计算债券价格的估计;并根据所获得的估计结果和前一日对应的指标值,分别计算债券指标的财富指标值,总价格指标值和净价格指标值。

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