本文主要探討曲線配適方法與無套利評價模型間之一致性對於利率衍生性商品評價的重要性。以指數內插法、Nelson and Siegel (1987)及Steeley (1991)三種曲線配適方法，與Heath, Jarrow and Morton (1992)及Hull and White (1994)兩種利率模型，交互進行組合配對（包含具一致性及不具一致性之組合），針對公債期貨評價，得到六種不同的評價結果。研究重點為：1.利用曲線配適方法建構平滑的利率期限結構，2.將配適結果輸入利率模型中，作為初始的殖利率曲線 (initial curve)，進而評價公債期貨；與實際交易價格比較，選出六種評價結果中，價格誤差較小者，即求得最佳曲線配適方法與利率模型之組合。研究結果顯示，選擇與利率模型間具有一致性的曲線配適方法，除了可降低參數估計的不穩定性之外，評價誤差也較低；本研究求得最佳配適方法與利率模型之組合為Nelson and Siegel (1987)與Hull and White (1994)，在樣本期間內，對公債期貨評價的平均誤差為0.0379。

This study investigates the importance of consistence with fitting curve techniques and arbitrage free interest rate model for pricing interest derivatives. We employ three different yield curve fitting methods which are exponential interpolation method, Nelson-Siegel (1987) and Steeley (1991) and use them as input to estimate the parameters for two different interest rate models, Heath-Jarrow-Morton (1992) and Hull-White (1994), to pricing Taiwan Treasury bond futures. The results show that the combination of consistent fitting curve method and interest rate model helps in stabilizing the parameters estimators and reducing the pricing error of bond futures. We present the best combination of fitting curve method and interest rate model is Nelson-Siegel method and Hull-White model with the mean percentage error of bond futures 0.0379.

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