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- W2394083485 abstract "In order to be against excessive volatility of traditional fitting curve for term structure of interest rate(TSIR), optimization model on minimizing function value with absolute price error and volatility rate is crcated,which is transformed into minimization programming of absolute distance within linearity constraint,and the model's parameters are figured through negative exponential smoothness cubic L1-spline and numerical geometric's approximative arithmetic.Negative exponential smoothness cubic L1-spline displays strong capability in pricing accuracy,volatility structure fitting and multi-step forecast,with comparison to NSS model and B-spline on fitting and forecast capability.The result enriches theorical basis and research method on TSIR's volatility and valuation in T-bill market." @default.
- W2394083485 created "2016-06-24" @default.
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- W2394083485 date "2012-01-01" @default.
- W2394083485 modified "2023-09-23" @default.
- W2394083485 title "Dual Tranformation Modelling on Term Structure of Interest Rate in T-bill Maket" @default.
- W2394083485 hasPublicationYear "2012" @default.
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