Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model
With the development of the Chinese interest rate market, SHIBOR missy minzy is playing an increasingly important role.Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms.And parameters are estimated by using the Kalman filter.The model is also used to fit and