PEMODELAN KURVA YIELD DENGAN OPTIMALISASI ALGORITMA DIFFERENTIAL EVOLUTION MENGGUNAKAN METODE NELSON SIEGEL SVENSSON DINAMIK; ( MODELING YIELD CURVE WITH OPTIMIZATION DIFFERENTIAL EVOLUTION ALGORITHM USING DYNAMIC NELSON SIEGEL SVENSON MODEL )

Riyanta, Agus, Abdurakhman

2015 | Skripsi | FMIPA

Bond is one of fixed-income investment instruments. The income that will returns to the investor until maturity is called by yield to maturity. An analysis that explained the relationship between yield to maturity and time to maturity is called term structure of interest rate. This term structure design into graph which called yield curve. This curve has yield in coordinate x and maturity in coordinate y. This research learn about yield curve theory using Dynamic Nelson Siegel Svensson method, which in its formation will be compared with the results of the formation by the Differential Evolution Algorithm, the results modeled using the VECM. This research case studies taken from the Indonesian government bonds coded FR (Fix Rate) traded on February 16, 2011. The modeling results concluded that based on the criteria of the minimum value that can be selected from RMSYE and MAYE Dynamic Nelson Siegel Svensson models from optimization Differential Evolution algorithm is better than the another.

Kata Kunci : Yield Curve; Dynamic Nelson Siegel Svensson; Differential Evolution; Vector Error Correction Model