Treasury Pricing of Based on Different Kernel Functions Nonparametric and Parametric Interest Rate Models

With the data of the repurchasing rate in Shanghai stock market,the nonparametric term structure model of interest rates is estimated by using two different kernel functions:Gauss kernel function and Epanechnikov kernel function in this paper.The empirical results show that the density function of short interest rate is non-normal distribution,and the drift and diffusion function are nonlinear,and Gauss kernel function is smoother than Epanechnikov kernel function for fitting diffusion function.Then the method of pricing treasury based on nonparametric and parametric interest rate models are given, and the forecasting of treasury prices of nonparametric interest rate model,Vasicek model,CIR model and polynomial splines static model are compared and analyzed.