债券收益率曲线和指数的生成系统及方法

债券收益率曲线和指数的生成系统及方法
申请号	PCT/CN2007/001996	申请日	2007-06-26	公开(公告)号	WO2009000108A1	公开(公告)日	2008-12-31
申请人	中央国债登记结算有限责任公司; 王平; 刘凡; 李剑锋; 管圣义;			发明人	王平; 刘凡; 李剑锋; 管圣义;
摘要	A system and method for generating bond yield rate curve and index, includes: Collects bond actual trading data and estimating data; According to the collected bond actual trading data and estimating data, determines a reasonable yield rate sample point for each standard repayment term; According to the determined sample point, calculates yield rate value corresponding to any repayment term on the acquired yield rate curve by using Hermite interpolation model; Calculates estimation of the bond price by using the obtained yield rate value; And according to the obtained result of estimation and index value corresponding to the previous day, calculates wealth index value, total price index value and net price index value of the bond index, respectively.
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