Estimasi Parameter pada Model Suku Bunga Cox Ingersoll Ross (CIR) Menggunakan Kalman Filter untuk Menentukan Harga Zero Coupon Bond

Eni Mariana
Submission Date: 2015-08-05 10:00:18
Accepted Date: 2016-01-20 15:15:57

Abstract


Tingkat suku bunga sangat berpengaruh pada penentuan harga sekuritas.Salah satunya pada penentuan harga bond yang nilainya bergantung pada tingkat suku bunga yang berlaku saat itu.Jenis bondyang dibahas pada tugas akhir ini adalah zero coupon bond. Bondjenis ini tidak membagikan kupon atau bunga pada setiap periode.Jadi, penerbit bondmembayarkan pokok hutang dan bunga pada saat masa jatuh tempo.Pada kenyataannya, tingkat suku bunga bersifat stokastik.Sehingga diperlukan model suku bunga stokastik yang bisa mewakili kondisi riil tingkat suku bunga pasar.Pada tugas akhir ini digunakan model suku bunga Cox Ingersoll Ross (CIR).Untuk menentukan harga bond diperlukan nilai parameter dari model suku bunga CIR. Sehingga perlu dilakukan estimasi parameter.Nilai parameter didapatkan mennggunakan metode Ordinary Least Square (OLS). Hasil estimasi tersebut digunakan sebagai input pada metode Kalman Filteruntuk mengestimasi tingkat suku bunga harian yang mengikuti model CIR.Pada tugas akhir ini, nilai parameter dan tingkat suku bunga harian hasil estimasi akan digunakan untuk menentukan harga zero coupon bond.

Keywords


Tingkat suku bunga; Model CIR; OLS; Kalman Filter; zero coupon bond

References


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Barokah AR.R. 2009. “Implementasi Model Cox Ingersoll Ross dalam Mengaproksimasi Tingkat Bunga Harian dan Harga Zero Coupon Bond”. Departemen Matematika, Fakultas Matematika dan Ilmu Pengetahuan Alam, Universitas Indonesia.

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http://www.bankofengland.co.uk/statistics/Pages/yieldcurve/default.aspx. Diakses pada 17 Maret 2015


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