UNS Conference Portal, IndoMS International Conference on Mathematics and Its Application (IICMA 2021)

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5th and 6th order bezier curve in modeling bonds yield curve
Emy Siswanah, Minhayati Saleh, Annis Zuhriatun Nafisah

Last modified: 2021-11-19


The relationship between yield to maturity and maturity date is called the term structure of interest rate. The yield curve can describe the structure of the interest rate period. Many studies have been conducted to model the yield curve. In this study, the yield curve is modeled using a bezier curve. The fundamental reason for using the bezier curve is that the bezier curve has good accuracy in estimating the curve or geometric plane based on available empirical data. The Bezier curves used to model bond yield curves are 5th and 6th order. Based on empirical data, it was found that 5th and 6th order Bezier curves have MSE values that are not much different. However, the 6th order Bezier curve has a smaller MSE value than 5th bezier curves in modeling the bond yield curve for all the data used. The 6th order bezier curve is closer to the bond yield curve because the 6th order bezier curve has more control values, namely 7 control values.