Efficiency rate prediction method and device, electronic equipment and storage medium

Abstract

The invention discloses an interest rate prediction method and device, electronic equipment and a storage medium, and relates to the technical field of data processing. The interest rate prediction method comprises the steps of estimating an expected long-term interest rate fluctuation rate of each period of a product according to historical product data; determining the actual long-term interest rate fluctuation rate of each period of the product according to the libor market model; calibrating the libor market model according to the actual long-term interest rate volatility; and predicting the long-term interest rate of each period of the product by adopting the calibrated libor market model and the initial long-term interest rate through a Monte Carlo simulation method. The libor market model is calibrated through the actual long-term interest rate volatility, so that the libor market model can directly observe the long-term interest rate, and the accuracy of the libor market model can be improved. And then the long-term interest rate of each period of the product is predicted through the libor market model and the initial long-term interest rate, so that the prediction accuracy of the long-term interest rate of each period of the product is improved, and the consistency of product pricing is improved.

Description

technical field [0001] The present invention relates to the technical field of data processing, and in particular, to an interest rate prediction method, device, electronic device and storage medium. Background technique [0002] In modern financial analysis, forward rates have a very wide range of applications. They can predict future data and predict market expectations for future interest rate trends, so they have always been used by central banks as a reference tool for formulating and implementing monetary policy. More importantly, the pricing of almost all interest rate derivatives in mature markets will depend on forward rates. [0003] Interest rate derivatives are a class of financial products whose value depends on changes in interest rates. Because all financial transactions are faced with interest rate risk, and interest rate derivatives provide a tool to control and manage interest rate risk, the research on the reasonable pricing of interest rate derivatives ...

AI Technical Summary

Problems solved by technology

However, transaction fees during the transaction can limit the accuracy of the arbitrage-free model

It can be seen that the existing interest rate models all assume that only the short-term interest rate is a state variable that affects product price changes, making the term structure of volatility obtained by the interest rate model unstable, leading to the interest rate model being used to describe the volatility structure of forward interest rates When the accuracy is relatively low, resulting in inconsistent pricing of interest rate derivatives

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