MODELING OF BOND YIELD CURVE USING CUBIC BEZIER CURVE
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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