骑乘收益率曲线
- 网络riding the yield curve
骑乘收益率曲线-
骑乘收益率曲线策略的研究基于对利率期限结构的分析，本文使用了B样条拟合国债隐含的利率期限结构，并比较了策略在不同期限的债券、不同持有期的情况下的不同表现。
For analyzing the term structure in Riding the yield curve , B-spline is used to fit the interest rate term structure implied by treasury bonds . Performance is compared between bonds with different maturity and different holding period .