{"version":"1.0","provider_name":"Fortune Insight","provider_url":"https:\/\/prime.fortuneinsight.com\/web","author_name":"\u66fe\u570b\u5e73\u6559\u6388","author_url":"https:\/\/prime.fortuneinsight.com\/web\/posts\/author\/byrontkp","title":"\u5343\u5b57\u6587\u89e3\u5b78\u8853\u6587\uff08\u5341\uff09\uff1a\u4e00\u689d\u5f71\u97ff\u6df1\u9060\u7684\u66f2\u7dda - Fortune Insight","type":"rich","width":600,"height":338,"html":"<blockquote class=\"wp-embedded-content\"><a href=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/521280\">\u5343\u5b57\u6587\u89e3\u5b78\u8853\u6587\uff08\u5341\uff09\uff1a\u4e00\u689d\u5f71\u97ff\u6df1\u9060\u7684\u66f2\u7dda<\/a><\/blockquote>\n<script type='text\/javascript'>\n<!--\/\/--><![CDATA[\/\/><!--\n\t\t!function(c,d){\"use strict\";var e=!1,n=!1;if(d.querySelector)if(c.addEventListener)e=!0;if(c.wp=c.wp||{},!c.wp.receiveEmbedMessage)if(c.wp.receiveEmbedMessage=function(e){var t=e.data;if(t)if(t.secret||t.message||t.value)if(!\/[^a-zA-Z0-9]\/.test(t.secret)){for(var r,a,i,s=d.querySelectorAll('iframe[data-secret=\"'+t.secret+'\"]'),n=d.querySelectorAll('blockquote[data-secret=\"'+t.secret+'\"]'),o=0;o<n.length;o++)n[o].style.display=\"none\";for(o=0;o<s.length;o++)if(r=s[o],e.source===r.contentWindow){if(r.removeAttribute(\"style\"),\"height\"===t.message){if(1e3<(i=parseInt(t.value,10)))i=1e3;else if(~~i<200)i=200;r.height=i}if(\"link\"===t.message)if(a=d.createElement(\"a\"),i=d.createElement(\"a\"),a.href=r.getAttribute(\"src\"),i.href=t.value,i.host===a.host)if(d.activeElement===r)c.top.location.href=t.value}}},e)c.addEventListener(\"message\",c.wp.receiveEmbedMessage,!1),d.addEventListener(\"DOMContentLoaded\",t,!1),c.addEventListener(\"load\",t,!1);function t(){if(!n){n=!0;for(var e,t,r=-1!==navigator.appVersion.indexOf(\"MSIE 10\"),a=!!navigator.userAgent.match(\/Trident.*rv:11\\.\/),i=d.querySelectorAll(\"iframe.wp-embedded-content\"),s=0;s<i.length;s++){if(!(e=i[s]).getAttribute(\"data-secret\"))t=Math.random().toString(36).substr(2,10),e.src+=\"#?secret=\"+t,e.setAttribute(\"data-secret\",t);if(r||a)(t=e.cloneNode(!0)).removeAttribute(\"security\"),e.parentNode.replaceChild(t,e)}}}}(window,document);\n\/\/--><!]]>\n<\/script><iframe sandbox=\"allow-scripts\" security=\"restricted\" src=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/521280\/embed\" width=\"600\" height=\"338\" title=\"&#8220;\u5343\u5b57\u6587\u89e3\u5b78\u8853\u6587\uff08\u5341\uff09\uff1a\u4e00\u689d\u5f71\u97ff\u6df1\u9060\u7684\u66f2\u7dda&#8221; &#8212; Fortune Insight\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\" class=\"wp-embedded-content\"><\/iframe>","thumbnail_url":"https:\/\/prime.fortuneinsight.com\/web\/wp-content\/uploads\/2021\/03\/NS-pic.jpg","thumbnail_width":1280,"thumbnail_height":720,"description":"\u5927\u5bb6\u90fd\u61c2\u5f97\u5b73\u606f\u66f2\u7dda(yield curve)\uff1a\u5c07\u570b\u50b5\u606f\u7387\u7531\u77ed\u671f\u81f3\u9577\u671f\u6392\u5217\uff0c\u5927\u90e8\u5206\u6642\u9593\u90fd\u662f\u5411\u4e0a\u659c\uff0c\u4ea6\u5373\u9577\u671f\u5229\u7387\u6bd4\u77ed\u671f\u5229\u7387\u9ad8\u3002\u6b64\u5916\uff0c\u66f2\u7dda\u4e0d\u662f\u76f4\u7dda\uff0c\u5927\u90e8\u6642\u9593\u90fd\u662f\u5f4e\u5f4e\u66f2\u66f2\u7684\uff0c\u6709\u5404\u7a2e\u7684\u602a\u5f62\u72c0\u3002(\u6839\u64da\u5b9a\u7fa9\uff0c\u5b73\u606f\u66f2\u7dda\u4e0d\u4e00\u5b9a\u6307\u570b\u50b5\uff0c\u4f46\u7531\u65bc\u53ea\u6709\u570b\u50b5\u624d\u7531\u77ed\u81f3\u9577\u90fd\u6709\u767c\u884c\uff0c\u6709\u8db3\u5920\u6578\u64da\uff0c\u6240\u4ee5\u6211\u5011\u901a\u5e38\u4e0d\u6703\u8aaa\u300c\u570b\u50b5\u5b73\u606f\u66f2\u7dda\u300d\u3002) \u5728\u75ab\u60c5\u4e4b\u524d\uff0c\u7f8e\u50b5\u7684\u9019\u689d\u66f2\u7dda\u4e00\u5ea6\u8fd1\u4e4e\u5411\u4e0b\u659c\uff1b\u75ab\u60c5\u5f8c\u4e00\u5e74\uff0c\u9019\u689d\u66f2\u7dda\u53c8\u5ffd\u7136\u8b8a\u6210\u5411\u4e0a\u659c\u3002\u9019\u689d\u6bcf\u5929\u90fd\u79fb\u4f86\u79fb\u53bb\u517c\u8b8a\u5f62\u7684\u66f2\u7dda\uff0c\u5230\u5e95\u53ef\u4ee5\u5982\u4f55\u5f62\u5bb9\u5462\uff1f \u5728\u4e0a\u4e16\u7d0080\u5e74\u4ee3\uff0c\u83ef\u76db\u9813\u5927\u5b78\u5c31\u6709\u5169\u500b\u5b78\u8005Charles Nelson\u548cAndrew Siegel\uff0c\u5beb\u4e86\u4e00\u7bc7\u770b\u4f3c\u5f88\u6280\u8853\u6027\u7684\u6587\u7ae0\uff0c\u63d0\u51fa\u4e00\u500b\u7c21\u55ae\u53bb\u5f62\u5bb9\u5b73\u606f\u66f2\u7dda\u7684\u65b9\u6cd5\u3002Nelson\u662f\u6211\u5728\u7814\u7a76\u9662\u6642\u7684\u8001\u5e2b\u4e4b\u4e00\uff0c\u800c\u6211\u5f8c\u4f86\u7684\u535a\u58eb\u8ad6\u6587\uff0c\u4e5f\u591a\u5c11\u8207\u9019\u7bc7\u6587\u7ae0\u6709\u95dc\u3002 Nelson, Charles R., and Andrew F. Siegel. &#8220;Parsimonious modeling of yield curves.&#8221; Journal of business (1987): 473-489. \u9867\u540d\u601d\u7fa9\uff0c\u5169\u4f4d\u5b78\u8005\u5fd7\u5728\u7cbe\u7c21(parsimonious)\u3002\u4ed6\u5011\u63d0\u51fa\u7684\u65b9\u7a0b\u5f0f\uff0c\u7684\u78ba\u7c21\u7d04\uff0c\u53ea\u9700\u8981\u7528\u4e09\u500b\u6578\u5b57\uff0c\u5c31\u80fd\u5f62\u5bb9\u7d55\u5927\u90e8\u4efd\u5b73\u606f\u66f2\u7dda\u53ef\u4ee5\u51fa\u73fe\u7684\u5f62\u72c0\u3002 R(m) = beta_0 + beta_1 [(1-exp(-m\/T))\/ (m\/T)] + beta_2 [(1-exp(-m\/T)) \/ (m\/T)\u00a0 &#8211; exp(-m\/T)] \u65b9\u7a0b\u5f0f\u7684\u5de6\u908a\uff0c\u662f\u5229\u7387R\uff0c\u800c\u62ec\u5f27\u4e2d\u7684m\uff0c\u5c31\u662f\u5229\u7387\u7684\u5e74\u671f\uff0c\u4f8b\u59826\u500b\u6708\u7684\u570b\u50b5\uff0cm\u5c31\u7b49\u59826\u4e86\u3002 \u65b9\u7a0b\u5f0f\u7684\u53f3\u908a\u6bd4\u8f03\u8907\u96dc\u3002\u9996\u5148\u6709\u4e09\u500b\u6578\u5b57beta_0\u3001beta_1\u3001beta_2\uff0c\u5c31\u662f\u8996\u4e4e\u66f2\u7dda\u5f62\u72c0\u800c\u8981\u9078\u64c7\u7684\u6578\u5b57\u3002\u81f3\u65bcT\uff0c\u901a\u5e38\u7684\u505a\u6cd5\u662f\u5c07\u5176\u56fa\u5b9a\u572816\u5de6\u53f3\uff0c\u5c0d\u66f2\u7dda\u7684\u5f62\u72c0\u6709\u9ede\u5f71\u97ff\uff0c\u4f46\u4e0d\u592a\u91cd\u8981\u3002\u90a3\u500b\u53ebexp\u7684\u6771\u897f\uff0c\u4ea6\u5373exponential function\uff0c\u4e2d\u6587\u7a31\u6307\u6578\u51fd\u6578\uff0c\u5927\u5bb6\u4e0d\u7528\u77e5\u9053\u662f\u4ec0\u9ebc\uff0c\u662f\u8981\u61c2\u5f97\u5728Excel\u4f7f\u7528\u5c31\u5920\u4e86\u3002 \u8209\u500b\u4f8b\u5b50\uff0c\u82e5\u679cbeta_0=3\u3001beta_1=-2\u3001beta_2=0.5\uff0c\u5e74\u671f\u75311\u500b\u6708\u756b\u5230120\u500b\u6708\uff0c\u6211\u5011\u5c31\u6703\u5f97\u5230\u4ee5\u4e0b\u9019\u5e45\u5716\u3002 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