In the light of the data of American treasury bill earning rate and interest rate swap, in combination of our country's data of treasury bill earning rate, the term structure of interest rate is simulated by using nonparametric support vector machine fore
In the light of the data of American treasury bill earning rate and interest rate swap, in combination of our country's data of treasury bill earning rate, the term structure of interest rate is simulated by using nonparametric support vector machine fore
依据美国国库券收益率和互换利率数据，结合我国国库券收益率数据，采用非参数的支持向量机预测模型模拟出利率期限结构；在已知利率期限结构的基础之上，采用支持向量机的方法模拟估计出利率互换的固定利率，从而构造出一种系统的利率互换定价方法。