BAREKENG: Jurnal Ilmu Matematika dan Terapan
Vol 16 No 4 (2022): BAREKENG: Journal of Mathematics and Its Applications

MODELING OF BOND YIELD CURVE USING CUBIC BEZIER CURVE

Emy Siswanah (Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Walisongo Semarang)



Article Info

Publish Date
15 Dec 2022

Abstract

Investors attracted to Bond have to analyze the Bond yield curve. In this study, the bond yield curve is modeled using a cubic bezier curve. The cubic bezier curve is flexible, precise, and simple to use and evaluate. The bonds used in this study are Surat Berharga Negara (Government Paper) Fix Rate type dated August, 2nd–6th 2021. Bond data is obtained from the Indonesia Stock Exchange https://www.idx.co.id. The results show that the bond yield curve that is formed varies because bond yields change every time following market developments. The cubic bezier curve is able to model the bond yield curve well. Cubic bezier curves have 4 control values ​​that help guide the curve well. The MSE value obtained by the bezier curve is small in general. The MSE values of the cubic bezier curve for the Bond yield data, sequentially from the least to the greatest, are 0,098 on August 4th, 2021; 0,1719 on August 5th, 2021; 0,2161 on August 3rd, 2021; 0,2498 on August 6th, 2021; and 0,2906 on August 2nd, 2021.

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Journal Info

Abbrev

barekeng

Publisher

Subject

Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

Description

BAREKENG: Jurnal ilmu Matematika dan Terapan is one of the scientific publication media, which publish the article related to the result of research or study in the field of Pure Mathematics and Applied Mathematics. Focus and scope of BAREKENG: Jurnal ilmu Matematika dan Terapan, as follows: - Pure ...