It is concluded that the estimated CIR model can be used to price bonds in the SSE,but it will cause some error when it is used to predict the change of yield curves.

 
  • 实证表明估计出的CIR模型可以用于上交所债券的定价;但用于利率期限结构变化的预测会产生一定的系统偏差.
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