Author(s)

Ziyue Zhang

Corresponding Author

Ziyue Zhang

Abstract

The term structure of interest rate refers to the curve formed by the interest rate of a certain time node in different time periods. It can represent the yield to maturity of zero-coupon bonds in different time periods, and objectively presents the future development characteristics of bond interest rates. In fact, the market interest rates are on the rise, that is, long-term interest rates exceed short-term interest rates. Therefore, MATLAB statically estimates the term structure of interest rates, as the trend of interest rate development in China's bond market, which grasps the bond market investment strategy, and provides rationalization recommendations for some specific application of bond portfolios.

Keywords

Chinese debenture; Term structure of interest rates; Bond portfolio management strategy;