中央政府公債利率期間結構之研究:VASICEK模型與三次指數式逐步嵌入模型之比較

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¤¤¥¡¬F©²¤½¶Å§Q²v´Á--µ²ºc¤§¬ã¨s¡GVasicek ¼Ò«¬»P¤T¦¸«ü¼Æ¦¡³v¨B´O¤J¼Ò«¬¤§¤ñ¸û Term Structure of R.O.C. Treasuries¡GVasicek v.s. Cubic Exponential Spline Models

-p¹º½s¸¹¡GNSC 88-2416-H-002-016 °õ¦æ´Á¶¡¡G87 ¦~8 ¤ë1 ¤é¦Ü88 ¦~7 ¤ë31 ¤é ¥D«ù¤H¡G§õ½å·½ °ê¥ß¥xÆW¤j¾Ç°]°Èª÷¿Ä¨t(©Ò) ¤@¡B ¤¤-^¤åºK-n ¥»¤å±´°Q¤¤¥¡¬F©²¤½¶Å§Q²v´Á--µ² ºc¡A´yÃ¸¤½¶Å¥«³õ¤§´Þ§Q²v¦±½u¡C¥Ñ©ó °ê¤º¤½¶Å´Á¼Æ¤£¨¬¡AµLªkª½±µ±q¥«³õ¸ê ®Æ¥Hbootstrapping ªº¤è¦¡¨D¥X´Þ§Q²v¦± ½u¡A¦]¦¹ÂÇ§U§Q²v´Á--µ²ºc¼Ò«¬¨Óºc«Ø ¤½¶Å¥«³õªº´Þ§Q²v¦±½u¡C

¥»¤åÀ³¥ÎVasicek & Fong [1982]¤Î Vasicek [1977]¨âºØ§Q²v´Á--µ²ºc¼Ò«¬¨Ó ´yÃ¸´Þ§Q²v¦±½u¡A«eªÌ¬OÀ³¥Î¤T¦¸«ü¼Æ ¦¡³v¨B´O¤Jªk¦ô-p°Ñ¼Æ¡A«áªÌ«h¬O¥H Calibration ªk¦ô-p¤@¦]¤l¡B¤G¦]¤l¼Ò«¬¤§ °Ñ¼Æ¡C³z¹L°Ñ¼Æ¦ô-p»P¼Ë¥»¥~¼Ò«¬¹w´ú »ù®æ©M¥«³õ¹ê»Ú»ù®æ¤§®t¶Z¡A§PÂ_¦óºØ ¼Ò«¬¸û¯à¥¿½Tªººc«Ø§Q²v´Á--µ²ºc¡C

¹êÃÒµ²ªGÅã¥Ü¡GVasicek & Fong [1982]ªº½u©Ê¼Ò«¬¦b¹w´ú¼Ë¥»¥~¶Å¨é»ù ®æ¯à¤O¤è-±¡A-nÀu©óVasicek & Fong [1982]«D½u©Ê¼Ò«¬¡F¦Ó«D½u©Ê¼Ò«¬¤SÀu©ó Vasicek ¤@¦]¤l¼Ò«¬¡C

ÃöÁä¦r¡G§Q²v´Á--µ²ºc¡A´Þ§Q²v¦±½u¡A

¤T¦¸«ü¼Æ¦¡³v¨B´O¤Jªk¡AVasicek ¼Ò«¬¡A ¾îÂ_-±¤ÀªR

Abstract¡G

This project studied the term

structure of R.O.C. Treasuries and drew

the yield curve for this market. Due to the

fact of insufficient bonds in Taiwan

Treasury market, the yield curve cannot be

obtained via directly bootstrapping bond

data. This project relied on term structure

models of interest rates to find out the

yield curve. The studied models include

the Vasicek and Fong (1982) model and

the Vasicek (1977) model. Parameters in

the Vasicek model are estimated with the

calibration approach. One-factor and

two-factor Vasicek models are estimated. On

the other hand, Vasicek and Fong’s model

(2)

parameters for respective models, the

deviation between the theoretical price and

the observed price are computed. The

project therefore select the model with the

least deviation to draw the yield curve for

R.O.C. Treasury market.

The empirical evidence indicates that

the linear model of Vasicek and Fong has

the less deviation than their nonlinear

model and Vasicek model. Moreover,

Vasicek and Fong’s nonlinear model also

outperform Vasicek model.

Keywords¡GTerm Structure of Interest

Rates, Yield Curve, Cubic Exponential

Spline, Vasicek and Fong, Calibration

¤G¡B ½t¥Ñ»P¥Øªº

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»P¤G¦]¤l¼Ò«¬¤§°Ñ¼Æ¡FVasicek and Fong ¼Ò«¬«h«Y¦ô-p¨ä½u©Ê»P«D½u©Ê¼Ò«¬¤§ °Ñ¼Æ¡C¦ô-pVasicek ¼Ò«¬¤§°Ñ¼Æ¬OÀ³¥Î Calibration ªº¤èªk¡FVasicek and Fong ªº ½u©Ê¼Ò«¬«h¬OÀ³¥Î°jÂkªk¡B¦Ü©ó«D½u©Ê ¼Ò«¬«h¬OÀ³¥Î«D½u©Ê·¥¤p¤Æ»~®tªk¡C ¥»¤å¨Ï¥Î¤§¸ê®Æ¬O¤½¶Å¦¸¯Å¥«³õ ¦U´Á¤½¶Å¥æ©ö»ù®æ¶g¸ê®Æ( ¨C¶g¤§¶g ¤T¡A³{°²¤é»¼©µ)¡CCalibration ªk¦ô-p Vasicek ¼Ò«¬®É±Ä¥Îªº¸ê®Æ¬O1994-1996 ¦~ªº¶g¸ê®Æ¡A¦]¦¹¦b¦¹¬q´Á¶¡¡A¨C¤@-Ó ¥æ©ö¶g¤T³£¦U¦³¤@±øVasicek ¤@¦]¤l»P ¤G¦]¤l¼Ò«¬¡B©Ò´yÃ¸ªº¤¤¥¡¬F©²¤½¶Å¤§ §Q²v´Á--µ²ºc¡F¤ÏÆ[¦ô-pVasicek and Fong ¼Ò«¬®É¡A¬°¤FÅý§Q²v´Á--µ²ºcªº´Á --¯àÂX±i¦Ü10 ¦~¥H¤W¡A¤£½×¬O½u©Ê©Î«D ½u©Ê¼Ò«¬¡A±Ä¥Îªº¸ê®Æ³£¶È¯à¬O 1995.6-1996.12 ªº¶g¸ê®Æ¡A¦]¬°°ê¤º¤¤ ¥¡¬F©²¤½¶Å¤§¨ì´Á´Á--¤@ª½¦Ü1995 ¦~ ¤U¥b¦~¤~¦³µo¦æ15 ¦~´Á¤§¤½¶Å(§Y¥æ«Ø ¥Ò¥|)¡C

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3/20/96 3/20/96 11.11 11.29 12.61 0.12 8.78 3/21/96 9.10 9.29 11.59 1.12 7.78 3/22/96 9.10 9.28 11.57 0.12 7.52 3/25/96 10.08 10.26 13.51 5.88 9.93 3/26/96 11.08 11.26 13.50 4.88 10.18 3/20/96¤p-p 10.09 10.28 12.56 2.42 8.84 3/27/96 3/27/96 8.19 8.32 8.95 6.95 8.10 3/28/96 8.19 8.32 10.93 9.94 9.35 4/1/96 9.17 9.31 11.85 11.90 10.56 4/2/96 9.17 9.30 11.83 11.89 10.55 4/5/96 8.16 8.29 10.77 10.86 9.52 4/6/96 7.15 7.29 10.25 10.85 8.89 4/8/96 7.14 7.28 10.71 11.33 9.12 4/9/96 7.14 7.27 9.68 11.32 8.85 3/27/96¤p-p 8.04 8.17 10.62 10.63 9.37 4/10/96 4/10/96 6.05 6.40 10.85 5.21 7.13 4/11/96 6.04 6.39 10.84 5.20 7.12 4/12/96 2.03 2.38 6.82 1.20 3.11 4/13/96 2.98 2.63 5.81 0.81 3.06 4/15/96 3.00 2.65 5.78 0.82 3.06 4/16/96 8.01 7.66 2.77 4.82 5.82 4/10/96¤p-p 4.69 4.69 7.15 3.01 4.88 4/17/96 4/17/96 4.68 5.11 12.94 7.91 7.66 4/18/96 10.67 11.10 16.92 11.91 12.65 4/19/96 16.66 17.09 18.91 14.90 16.89 4/20/96 16.64 17.08 17.90 12.89 16.13 4/22/96 16.62 17.05 17.87 12.88 16.11 4/23/96 16.61 17.04 18.86 12.87 16.35 4/17/96¤p-p 13.65 14.08 17.23 12.23 14.30 4/24/96 4/24/96 7.11 7.39 11.24 7.30 8.26 4/25/96 7.11 7.38 11.22 7.29 8.25 4/26/96 7.10 7.38 11.21 7.28 8.24 4/27/96 7.09 7.37 11.19 6.27 13.47 9.08 4/29/96 7.07 7.35 11.16 6.26 9.15 8.20 4/30/96 3.07 3.34 10.14 6.25 7.14 5.99 4/24/96¤p-p 6.43 6.70 11.03 6.78 9.92 7.98 5/1/96 5/1/96 7.28 7.64 15.83 3.60 5.71 8.01

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5/3/96 7.26 7.62 15.80 3.60 5.71 8.00 5/4/96 11.25 11.61 17.78 7.59 7.71 11.19 5/6/96 11.23 11.59 17.76 7.59 7.71 11.18 5/7/96 13.22 13.58 18.74 7.59 7.71 12.17 5/1/96¤p-p 9.42 9.78 16.95 5.43 6.71 9.66 5/8/96 5/8/96 8.43 8.75 11.57 4.52 4.87 7.63 5/9/96 10.42 10.74 11.56 3.52 4.87 8.22 5/10/96 12.41 12.74 11.54 4.51 4.87 9.21 5/11/96 12.40 12.73 14.52 5.51 5.86 10.20 5/13/96 12.38 12.71 16.48 5.50 5.86 10.59 5/14/96 12.37 12.70 16.46 5.50 5.85 10.58 5/8/96¤p-p 11.40 11.73 13.69 4.84 5.36 9.41 5/15/96 5/15/96 8.99 9.41 10.81 3.51 3.97 7.34 5/16/96 8.98 9.40 11.29 3.51 3.96 7.43 5/17/96 7.97 8.39 9.77 3.50 3.96 6.72 5/18/96 6.96 7.38 10.75 3.50 3.96 6.51 5/20/96 6.93 7.35 10.72 3.49 3.95 6.49 5/21/96 6.92 7.34 12.70 3.49 3.94 6.88 5/15/96¤p-p 7.79 8.21 11.01 3.50 3.96 6.89 5/22/96 5/22/96 7.71 8.13 10.51 3.69 4.32 6.87 5/23/96 9.70 10.12 12.49 4.68 5.32 8.46 5/24/96 10.68 11.11 12.47 4.68 5.31 8.85 5/25/96 10.67 11.09 12.46 4.67 5.31 8.84 5/27/96 10.65 11.07 11.42 4.66 5.29 8.62 5/28/96 9.64 10.06 11.40 3.65 4.29 7.81 5/22/96¤p-p 9.84 10.26 11.79 4.34 4.97 8.24 5/29/96 5/29/96 8.83 9.38 9.98 3.70 4.31 7.24 5/30/96 8.82 9.36 9.96 3.69 4.31 7.23 5/31/96 10.80 11.35 11.94 3.69 4.30 8.42 6/1/96 12.79 13.33 11.92 3.68 4.29 9.20 6/3/96 12.76 13.30 13.39 3.67 4.28 9.48 6/4/96 15.74 16.29 17.87 4.66 5.28 11.97 5/29/96¤p-p 11.62 12.17 12.51 3.85 4.46 8.92 6/5/96 6/5/96 10.49 11.21 14.61 4.08 3.09 8.70 6/6/96 16.47 17.19 25.59 14.07 8.08 16.28 6/7/96 15.45 16.17 23.57 14.06 7.07 15.26 6/8/96 13.43 14.15 15.55 7.05 3.06 10.65 6/10/96 13.39 14.11 15.51 7.03 3.04 10.62

(19)

6/11/96 13.37 14.09 22.50 12.02 6.03 13.60 6/5/96¤p-p 13.77 14.49 19.56 9.72 5.06 12.52 6/12/96 6/12/96 8.34 9.46 12.66 4.59 4.47 7.90 6/13/96 6.30 7.43 14.65 4.58 4.45 7.48 6/14/96 6.27 7.39 15.64 4.56 4.43 7.66 6/15/96 6.24 7.36 17.63 4.54 4.41 8.04 6/17/96 6.18 7.30 17.60 4.50 4.38 7.99 6/18/96 4.14 5.27 11.59 2.48 2.36 5.17 6/12/96¤p-p 6.25 7.37 14.96 4.21 4.08 7.37 6/19/96 6/19/96 6.14 7.10 10.73 2.69 3.78 14.27 7.45 6/21/96 8.09 9.05 9.70 2.65 2.74 14.24 7.75 6/22/96 6.06 7.02 5.68 0.63 1.72 10.23 5.22 6/24/96 6.01 6.96 5.66 0.59 1.67 10.20 5.18 6/25/96 9.98 10.94 6.64 2.57 1.65 10.18 6.99 6/19/96¤p-p 7.26 8.21 7.68 1.83 2.31 11.82 6.52 6/26/96 6/26/96 11.88 13.21 10.47 5.53 3.75 13.06 9.65 6/27/96 12.84 14.17 8.46 5.50 3.73 11.05 9.29 6/28/96 11.80 13.14 5.45 4.48 2.70 8.04 7.60 6/29/96 8.77 10.10 3.45 2.46 2.68 5.03 5.42 7/2/96 8.65 9.98 10.42 2.39 2.62 12.01 7.68 6/26/96¤p-p 10.79 12.12 7.65 4.07 3.10 9.84 7.93 7/3/96 7/3/96 8.31 9.74 11.17 4.06 3.36 11.57 8.04 7/4/96 10.27 11.70 10.17 3.04 3.34 10.56 8.18 7/5/96 11.23 12.66 13.16 5.02 5.32 13.55 10.16 7/6/96 14.19 15.62 13.15 7.99 6.29 13.54 11.80 7/8/96 14.10 15.53 13.14 7.95 6.25 13.53 11.75 7/9/96 14.06 15.49 14.13 7.93 6.22 14.52 12.06 7/3/96¤p-p 12.03 13.46 12.49 6.00 5.13 12.88 10.33 7/10/96 7/10/96 8.30 9.93 11.26 4.94 4.11 12.92 8.58 7/11/96 10.26 11.89 9.25 4.92 1.09 8.92 7.72 7/12/96 10.21 11.84 12.24 3.90 3.07 9.91 8.53 7/13/96 10.16 11.79 12.23 3.88 3.05 10.90 8.67 7/15/96 10.07 11.70 12.21 3.84 3.01 10.88 8.62 7/16/96 10.02 11.65 11.20 2.81 2.99 10.87 8.26 7/10/96¤p-p 9.84 11.47 11.40 4.05 2.89 10.73 8.40 7/17/96 7/17/96 9.65 11.19 10.83 4.08 5.43 11.62 8.80 7/18/96 9.60 11.15 12.82 5.05 6.41 11.61 9.44

(20)

7/20/96 9.51 11.06 15.80 6.01 6.36 12.59 10.22 7/22/96 9.43 10.97 15.78 5.96 6.32 12.57 10.17 7/23/96 9.38 10.93 15.77 5.94 6.29 12.56 10.15 7/17/96¤p-p 9.52 11.07 14.14 5.51 6.20 12.26 9.78 7/24/96 7/24/96 8.29 9.58 12.28 4.25 5.29 10.23 8.32 7/25/96 8.26 9.54 12.26 4.23 5.27 10.22 8.30 7/26/96 11.22 12.51 13.24 5.21 5.25 10.20 9.61 7/27/96 11.18 12.47 14.23 5.19 5.23 11.19 9.92 7/29/96 13.11 14.40 18.20 5.15 6.19 11.15 11.37 7/30/96 13.07 14.36 17.18 7.13 6.17 16.14 12.34 7/24/96¤p-p 10.86 12.14 14.57 5.19 5.57 11.52 9.97 7/31/96 7/31/96 14.19 15.54 10.97 3.62 3.48 10.44 9.71 8/1/96 14.15 15.50 10.96 3.59 3.45 10.43 9.68 8/2/96 14.11 15.47 10.95 3.56 3.42 10.42 9.66 8/3/96 12.07 13.43 8.93 3.53 3.40 8.40 8.29 8/5/96 12.00 13.35 7.91 3.48 3.34 7.38 7.91 8/6/96 11.96 13.31 8.89 0.45 1.31 8.36 7.38 7/31/96¤p-p 13.08 14.43 9.77 3.04 3.07 9.24 8.77 8/7/96 8/7/96 13.76 14.94 11.81 3.46 1.33 8.80 9.02 8/8/96 13.73 14.91 11.80 7.43 5.31 9.78 10.49 8/9/96 16.69 17.87 12.78 8.40 8.28 11.77 12.63 8/10/96 16.66 17.84 12.77 8.37 8.25 11.75 12.61 8/12/96 16.59 17.77 12.73 8.32 8.19 11.72 12.55 8/13/96 16.56 17.74 11.72 8.29 8.16 11.70 12.36 8/7/96¤p-p 15.67 16.85 12.27 7.38 6.59 10.92 11.61 8/14/96 8/14/96 10.11 11.66 9.96 2.88 2.83 8.68 7.69 8/15/96 9.07 10.61 10.95 2.85 2.80 8.67 7.49 8/16/96 9.02 10.57 11.94 4.82 2.77 7.66 7.80 8/17/96 8.98 10.52 11.93 5.79 2.74 7.65 7.94 8/19/96 8.89 10.43 11.91 5.73 2.68 7.63 7.88 8/20/96 8.85 10.39 10.90 5.70 2.65 7.62 7.69 8/14/96¤p-p 9.15 10.70 11.27 4.63 2.75 7.99 7.75 8/21/96 8/21/96 8.31 9.98 8.81 2.62 1.19 5.49 6.07 8/22/96 10.26 11.93 13.80 10.59 5.79 9.48 10.31 8/23/96 10.22 11.89 14.78 15.57 11.76 13.47 12.95 8/24/96 10.17 11.84 15.77 19.55 16.74 11.45 14.25 8/26/96 16.07 17.74 21.74 26.51 21.70 16.42 20.03 8/27/96 16.03 17.70 19.73 25.49 20.68 12.41 18.67

(21)

8/21/96¤p-p 11.84 13.51 15.77 16.72 12.98 11.45 13.71 8/28/96 8/28/96 8.57 9.89 8.96 4.24 0.39 0.05 5.35 8/29/96 8.53 9.85 7.95 4.22 0.63 0.05 5.21 8/30/96 8.49 9.81 9.95 6.19 0.35 0.06 5.81 8/31/96 8.45 9.78 11.94 14.17 7.33 3.94 9.27 9/2/96 3.38 4.70 12.93 14.13 6.29 1.93 7.23 9/3/96 8.34 9.66 11.93 15.11 7.27 3.92 9.37 8/28/96¤p-p 7.63 8.95 10.61 9.68 3.71 1.66 7.04 9/4/96 9/4/96 3.75 5.04 8.72 8.90 5.24 1.17 5.47 9/5/96 3.72 5.00 11.72 10.87 5.21 1.17 6.28 9/6/96 3.68 4.96 12.72 12.85 5.19 1.17 6.76 9/7/96 3.64 4.93 13.71 13.83 5.17 1.17 7.08 9/9/96 3.57 4.85 11.71 10.78 5.12 1.16 6.20 9/10/96 3.53 4.82 11.71 7.76 2.09 3.84 5.63 9/4/96¤p-p 3.65 4.93 11.72 10.83 4.67 1.61 6.24 9/11/96 9/11/96 4.37 5.54 9.78 8.55 3.12 6.42 6.30 9/12/96 4.34 5.51 7.78 7.52 3.09 6.42 5.78 9/13/96 4.30 5.47 9.78 9.50 3.07 6.42 6.42 9/14/96 4.27 5.44 8.77 10.47 4.04 6.43 6.57 9/16/96 4.20 5.37 11.26 12.42 3.99 6.44 7.28 9/17/96 4.17 5.34 12.76 14.40 3.96 6.44 7.85 9/11/96¤p-p 4.28 5.45 10.02 10.48 3.55 6.43 6.70 9/18/96 9/18/96 3.20 4.45 9.37 11.15 1.99 8.16 6.39 9/19/96 3.17 4.42 11.36 13.13 1.97 8.16 7.04 9/20/96 3.13 4.38 12.36 15.10 3.94 6.17 7.51 9/21/96 3.10 4.34 12.36 15.07 3.91 6.17 7.49 9/23/96 3.03 4.27 10.36 15.01 3.85 6.17 7.12 9/24/96 2.99 4.24 7.35 10.98 0.82 9.17 5.93 9/18/96¤p-p 3.10 4.35 10.53 13.41 2.75 7.33 6.91 9/25/96 9/25/96 1.68 3.11 9.82 4.84 4.64 7.69 26.42 8.31 9/26/96 1.64 3.07 11.82 5.82 4.67 7.69 15.32 7.15 9/30/96 1.48 2.90 11.84 5.72 4.77 7.68 15.22 7.09 10/1/96 1.43 2.86 10.84 3.69 4.80 7.67 13.19 6.35 9/25/96¤p-p 1.56 2.99 11.08 5.02 4.72 7.68 17.54 7.23 10/2/96 10/2/96 1.57 2.94 9.98 4.18 4.26 8.30 13.81 6.43 10/3/96 1.53 2.90 9.98 4.16 4.28 8.29 14.78 6.56 10/4/96 1.49 2.86 10.98 4.13 4.31 8.29 14.76 6.69

(22)

10/7/96 1.37 2.74 12.99 6.06 4.38 8.29 14.68 7.22 10/8/96 1.33 2.70 13.99 5.03 2.41 6.29 15.65 6.77 10/2/96¤p-p 1.46 2.83 11.65 4.78 4.00 7.96 14.74 6.77 10/9/96 10/9/96 1.17 - 9.21 5.47 4.89 10.56 13.29 6.37 10/11/96 1.23 0.06 9.20 4.42 5.95 10.56 13.24 6.38 10/12/96 1.27 0.10 9.20 4.39 5.97 10.56 13.21 6.39 10/14/96 1.33 0.16 8.20 4.34 6.03 10.56 13.16 6.25 10/15/96 1.37 0.20 8.20 4.31 6.05 10.57 13.13 6.26 10/9/96¤p-p 1.27 0.10 8.80 4.59 5.78 10.56 13.21 6.33 10/16/96 10/16/96 1.30 0.12 8.67 4.17 5.25 10.01 13.85 6.20 10/17/96 11.33 10.15 22.33 35.86 35.28 32.01 31.18 25.45 10/18/96 0.63 1.81 9.67 4.12 5.30 10.01 14.80 6.62 10/19/96 11.70 1.78 9.67 4.09 5.33 10.01 14.77 8.19 10/21/96 9.83 1.71 8.66 4.04 5.38 10.02 11.72 7.34 10/22/96 9.84 1.68 7.66 3.02 5.41 10.02 9.69 6.76 10/16/96¤p-p 7.44 2.88 11.11 9.22 10.33 13.68 16.00 10.09 10/23/96 10/23/96 15.09 0.01 9.49 1.79 5.89 7.35 7.79 19.95 8.42 10/24/96 13.11 2.03 2.49 2.24 7.92 9.35 1.77 2.49 5.18 10/28/96 13.20 2.19 1.49 2.33 8.01 9.35 1.68 2.40 5.08 10/29/96 9.22 6.23 7.51 4.35 12.03 15.35 4.35 3.63 7.83 10/23/96¤p-p 12.66 2.62 5.25 2.68 8.46 10.35 3.90 7.12 6.63 10/30/96 10/30/96 12.10 0.42 8.36 2.53 0.15 3.44 5.55 6.27 4.85 11/1/96 12.14 0.51 11.36 4.48 1.80 1.44 7.50 8.23 5.93 11/2/96 14.16 1.44 14.36 5.46 3.78 0.56 12.48 13.20 8.18 11/4/96 14.19 1.35 14.36 5.41 3.73 0.56 12.43 13.16 8.15 11/5/96 13.21 0.31 17.36 8.39 5.71 8.56 14.41 15.13 10.39 10/30/96¤p-p 13.16 0.81 13.16 5.25 3.03 2.91 10.47 11.20 7.50 11/6/96 11/6/96 11.71 0.55 8.76 0.35 1.93 0.02 6.91 7.66 4.74 11/7/96 11.73 0.59 6.76 2.37 1.95 0.02 3.89 3.64 3.87 11/8/96 11.75 0.63 7.76 2.39 1.98 0.03 4.86 5.61 4.38 11/9/96 11.76 0.67 6.76 3.42 2.00 0.03 2.84 3.59 3.88 11/11/96 11.80 0.74 6.76 3.47 2.05 0.03 2.79 3.54 3.90 11/6/96¤p-p 11.75 0.64 7.36 2.40 1.98 0.03 4.26 4.81 4.15 11/13/96 11/13/96 9.10 0.19 7.94 0.07 0.45 2.37 5.51 6.28 3.99 11/14/96 8.12 0.84 7.94 1.96 0.47 2.37 4.49 5.26 3.93 11/15/96 8.13 0.88 6.94 1.98 1.50 2.37 2.46 4.23 3.56 11/16/96 8.14 0.92 5.93 4.01 3.52 0.36 0.43 1.21 3.07 11/17/96 8.15 0.96 5.93 4.03 1.55 0.36 2.41 3.18 3.32

(23)

11/18/96 8.17 1.00 5.93 4.06 3.57 0.36 0.38 1.16 3.08 11/19/96 8.18 1.04 6.93 2.08 1.60 0.36 2.36 3.13 3.21 11/13/96¤p-p 8.28 0.83 6.79 2.60 1.81 1.22 2.58 3.49 3.45 11/20/96 11/20/96 8.16 0.29 8.42 1.10 0.51 1.95 4.66 5.47 0.54 3.46 11/21/96 8.17 0.32 7.42 1.13 0.48 1.95 4.63 5.44 1.55 3.45 11/22/96 8.18 0.36 7.41 1.16 0.45 1.94 2.61 3.42 1.55 3.01 11/23/96 8.19 14.10 5.41 1.18 0.43 1.94 2.58 3.39 1.55 4.31 11/25/96 8.22 7.82 5.41 1.23 0.38 1.94 2.53 3.34 1.56 3.60 11/26/96 6.23 5.83 3.40 3.26 3.65 4.07 0.50 1.31 3.56 3.53 11/20/96¤p-p 7.86 4.79 6.25 1.51 0.98 2.30 2.92 3.73 1.72 3.56 11/27/96 11/27/96 8.96 8.55 7.84 0.27 0.36 1.55 3.43 4.17 1.10 4.03 11/28/96 8.97 8.56 5.83 0.75 0.38 1.54 3.40 4.15 1.09 3.85 11/29/96 8.98 8.57 5.82 0.77 0.60 1.53 4.38 5.13 2.09 4.21 11/30/96 9.00 8.58 4.82 0.80 0.57 1.52 4.36 5.10 2.08 4.09 12/2/96 9.02 8.61 4.80 0.84 0.52 1.51 4.31 5.05 2.06 4.08 12/3/96 7.03 6.62 2.79 0.87 4.50 3.50 0.71 0.03 1.95 3.11 11/27/96¤p-p 8.66 8.25 5.32 0.72 1.16 1.86 3.43 3.94 1.73 3.89 12/4/96 12/4/96 4.16 4.11 8.60 2.34 0.39 2.79 3.23 3.95 1.88 3.49 12/5/96 4.16 4.12 8.60 2.32 0.41 2.78 3.21 3.92 2.87 3.60 12/6/96 4.17 4.12 8.59 1.30 0.43 0.77 3.19 3.90 0.14 2.96 12/7/96 4.17 4.12 8.58 1.28 0.46 0.77 3.17 3.88 1.86 3.14 12/9/96 4.17 4.12 8.57 1.23 0.50 0.76 3.12 3.83 1.85 3.13 12/10/96 4.17 4.12 1.57 1.21 3.52 0.25 0.10 0.81 0.84 1.84 12/4/96¤p-p 4.17 4.12 7.42 1.61 0.95 1.35 2.67 3.38 1.57 3.03 12/11/96 12/11/96 6.79 6.60 6.91 3.87 0.05 4.29 3.54 4.23 5.56 4.65 12/12/96 5.80 5.61 5.90 0.85 3.97 1.28 0.48 0.20 2.55 2.96 12/13/96 5.80 5.61 5.89 0.83 3.99 1.27 0.50 0.18 2.54 2.96 12/14/96 5.81 5.62 5.89 1.19 6.01 0.27 2.53 1.84 1.54 3.41 12/16/96 5.82 5.63 5.87 1.24 6.06 0.25 2.57 1.88 1.52 3.43 12/17/96 3.82 3.63 3.86 4.26 8.08 3.75 4.59 3.91 2.49 4.27 12/11/96¤p-p 5.64 5.45 5.72 2.04 4.69 1.85 2.37 2.04 2.70 3.61 12/18/96 12/18/96 2.83 2.81 7.42 3.25 0.59 0.65 2.86 3.55 2.68 2.96 12/19/96 2.83 2.81 9.41 3.23 2.39 2.64 5.84 6.53 4.67 4.48 12/20/96 2.83 2.82 8.39 3.21 2.37 2.63 5.82 6.51 4.66 4.36 12/21/96 2.83 2.82 4.06 3.19 1.34 2.62 4.80 5.48 4.64 14.18 4.60 12/23/96 2.84 2.82 5.10 3.15 1.30 2.60 4.76 5.44 4.62 6.71 3.93 12/24/96 7.84 7.82 1.12 3.13 4.28 7.58 7.73 8.42 12.61 11.69 7.22

(24)

12/27/96 7.84 7.82 2.17 2.06 4.22 5.55 7.67 8.36 9.57 9.63 6.49 12/28/96 7.84 7.82 3.19 1.04 1.19 2.54 4.65 5.33 8.56 6.60 4.88 12/30/96 7.84 7.82 3.23 1.00 0.85 2.51 2.61 3.29 8.54 4.56 4.23 12/31/96 7.84 7.82 4.25 2.02 1.87 2.50 1.58 2.27 7.52 3.54 4.12 12/18/96¤p-p 5.56 5.55 4.50 2.58 2.33 3.58 5.18 5.87 7.42 8.45 5.01 Á`-p 8.42 8.11 11.01 5.68 4.42 6.88 7.18 4.93 3.66 8.45 7.47

(25)

ªí¤T¡G±Ä¥ÎNonLinear Vasicek and Fong Model ¦ô-p¤U¦C¤½¶Å96 ¦~¥æ©ö»ù®æ¤§»~®t´Þ§Q²v (bp)²Î-pªí ¤½¶Å ±Ä¥Î¤§§Q ²v´Á--¤é ¤½¶Å ¥æ©ö¤é00851 00852 00853 00751 85308 85104 86101 86102 86103 86104 Á`-p 12/27/95 1/4/96 13.18 13.69 11.92 12.93 1/5/96 11.16 11.68 10.91 11.25 1/6/96 9.15 9.66 2.91 7.24 1/8/96 9.12 9.63 6.89 8.55 1/9/96 10.10 10.62 7.88 9.53 12/27/95¤p-p 10.54 11.06 8.10 9.90 1/10/96 1/10/96 9.78 10.17 11.72 10.56 1/11/96 13.77 14.16 12.71 13.55 1/12/96 15.76 16.15 16.70 16.20 1/13/96 14.75 15.14 14.69 14.86 1/15/96 14.72 15.12 14.66 14.83 1/16/96 15.71 16.10 14.65 15.49 1/10/96¤p-p 14.08 14.47 14.19 14.25 1/17/96 1/17/96 4.66 5.23 10.32 6.74 1/18/96 5.65 6.21 9.31 7.06 1/19/96 6.63 7.20 10.31 8.05 1/20/96 6.61 7.18 10.30 13.48 9.39 1/22/96 6.58 7.15 10.28 10.18 8.55 1/23/96 5.56 6.13 8.27 10.17 7.53 1/17/96¤p-p 5.95 6.52 9.80 11.28 7.97 1/24/96 1/24/96 5.13 5.63 10.82 3.04 6.16 1/25/96 3.12 3.62 8.82 3.04 4.65 1/26/96 1.10 1.60 5.81 0.04 2.14 1/27/96 4.09 4.59 6.80 0.05 3.88 1/29/96 4.06 4.56 6.78 0.05 3.86 1/30/96 3.05 3.55 5.77 0.06 3.11 1/24/96¤p-p 3.43 3.93 7.47 1.05 3.97 1/31/96 1/31/96 6.39 6.87 11.18 2.91 6.84 2/1/96 6.38 6.85 11.17 2.91 6.83 2/2/96 8.36 8.84 13.16 2.92 8.32 2/3/96 10.35 10.83 16.15 4.92 10.56 2/5/96 10.32 10.80 16.13 4.93 10.55 2/6/96 13.31 13.79 17.12 4.94 12.29

(26)

1/31/96¤p-p 9.19 9.66 14.15 3.92 9.23 2/7/96 2/7/96 3.71 4.15 11.94 2.49 5.57 2/8/96 5.70 6.14 13.42 2.50 6.94 2/9/96 8.69 9.13 14.41 3.50 8.93 2/10/96 8.68 9.12 15.40 4.50 9.43 2/12/96 10.65 11.09 17.37 6.51 11.41 2/13/96 23.64 24.08 28.35 23.51 24.90 2/7/96¤p-p 10.18 10.62 16.82 7.17 11.20 2/14/96 2/14/96 4.46 4.92 8.02 3.02 5.11 2/15/96 7.45 7.91 11.01 5.02 7.85 2/16/96 5.44 5.90 10.00 4.02 6.34 2/17/96 5.42 5.88 9.99 4.02 6.33 2/23/96 5.34 5.80 9.93 4.02 6.27 2/24/96 12.33 12.79 10.92 5.02 10.27 2/26/96 12.30 12.76 11.90 5.03 10.50 2/27/96 10.29 10.75 9.89 3.03 8.49 2/14/96¤p-p 7.88 8.34 10.21 4.15 7.64 2/28/96 2/28/96 1.38 0.32 6.99 3.37 3.02 2/29/96 4.41 3.35 3.98 0.37 3.03 3/1/96 6.44 5.38 0.97 5.63 4.61 3/2/96 4.48 3.41 1.95 5.63 3.87 3/4/96 4.54 3.47 1.93 5.64 3.90 3/5/96 1.57 0.50 4.91 3.64 2.66 2/28/96¤p-p 3.80 2.74 3.46 4.05 3.51 3/6/96 3/6/96 1.56 2.00 8.98 2.75 3.82 3/7/96 7.45 7.01 1.96 3.25 4.92 3/8/96 7.46 7.02 1.93 5.25 5.42 3/9/96 7.48 7.04 0.91 5.25 5.17 3/11/96 7.50 7.06 2.13 8.26 6.24 3/12/96 14.51 14.07 13.15 18.26 15.00 3/6/96¤p-p 7.66 7.37 4.84 7.17 6.76 3/13/96 3/13/96 11.39 12.31 15.22 0.63 9.89 3/14/96 3.64 2.72 7.21 9.36 5.73 3/15/96 6.33 7.25 28.20 7.64 12.36 3/16/96 24.31 25.23 38.19 15.65 25.85 3/18/96 24.25 25.18 37.17 14.67 25.32 3/19/96 24.23 25.15 40.16 15.67 26.30 3/13/96¤p-p 15.69 16.31 27.69 10.60 17.57

(27)

3/20/96 3/20/96 9.50 9.85 12.06 0.58 8.00 3/21/96 7.49 7.84 11.04 0.43 6.70 3/22/96 7.48 7.83 11.03 0.57 6.73 3/25/96 8.45 8.80 12.98 6.55 9.20 3/26/96 9.44 9.79 12.96 5.55 9.44 3/20/96¤p-p 8.47 8.82 12.01 2.74 8.01 3/27/96 3/27/96 7.02 7.50 6.25 10.71 7.87 3/28/96 7.01 7.49 8.24 13.69 9.11 4/1/96 7.95 8.43 9.17 15.63 10.30 4/2/96 7.94 8.42 9.16 15.61 10.28 4/5/96 6.90 7.38 8.11 14.56 9.24 4/6/96 5.89 6.36 7.59 14.54 8.60 4/8/96 5.86 6.34 8.06 15.01 8.82 4/9/96 5.84 6.32 7.04 14.99 8.55 3/27/96¤p-p 6.80 7.28 7.95 14.34 9.09 4/10/96 4/10/96 5.37 6.00 8.77 7.99 7.03 4/11/96 5.35 5.99 8.75 7.98 7.02 4/12/96 1.34 1.97 4.74 3.97 3.01 4/13/96 3.68 3.05 3.73 1.96 3.11 4/15/96 3.72 3.09 3.70 1.95 3.12 4/16/96 8.74 8.10 0.69 2.06 4.90 4/10/96¤p-p 4.70 4.70 5.06 4.32 4.70 4/17/96 4/17/96 4.04 4.66 11.36 10.32 7.60 4/18/96 10.03 10.64 15.35 14.31 12.58 4/19/96 16.01 16.62 17.34 17.30 16.82 4/20/96 15.99 16.60 16.33 15.29 16.05 4/22/96 15.96 16.57 16.30 15.27 16.03 4/23/96 15.94 16.55 17.29 15.26 16.26 4/17/96¤p-p 13.00 13.61 15.66 14.63 14.22 4/24/96 4/24/96 6.93 7.47 8.74 10.92 8.52 4/25/96 6.92 7.45 8.73 10.90 8.50 4/26/96 6.90 7.44 8.71 10.89 8.49 4/27/96 6.88 7.42 8.70 9.88 18.31 10.24 4/29/96 6.85 7.39 8.67 9.85 13.32 9.22 4/30/96 2.84 3.38 7.66 9.83 11.30 7.00 4/24/96¤p-p 6.22 6.76 8.54 10.38 14.31 8.68 5/1/96 5/1/96 8.18 8.69 14.59 4.51 6.73 8.54

(28)

5/3/96 8.15 8.66 14.57 4.51 6.73 8.52 5/4/96 12.14 12.65 16.55 8.50 8.73 11.71 5/6/96 12.11 12.62 16.53 8.50 8.72 11.70 5/7/96 14.10 14.60 17.51 8.50 8.72 12.69 5/1/96¤p-p 10.31 10.82 15.72 6.34 7.73 10.18 5/8/96 5/8/96 7.34 8.03 8.46 7.14 8.28 7.85 5/9/96 9.32 10.01 8.45 6.13 8.27 8.44 5/10/96 11.30 11.99 8.43 7.12 8.25 9.42 5/11/96 11.28 11.97 11.42 8.11 9.24 10.40 5/13/96 11.24 11.93 13.39 8.09 9.22 10.77 5/14/96 11.22 11.91 13.38 8.08 9.21 10.76 5/8/96¤p-p 10.28 10.97 10.59 7.45 8.75 9.61 5/15/96 5/15/96 7.93 8.65 8.06 5.95 7.08 7.53 5/16/96 7.91 8.62 8.54 5.94 7.07 7.62 5/17/96 6.88 7.60 7.03 5.92 7.06 6.90 5/18/96 5.86 6.58 8.02 5.91 7.05 6.68 5/20/96 5.82 6.54 7.99 5.89 7.03 6.65 5/21/96 5.80 6.52 9.97 5.88 7.02 7.04 5/15/96¤p-p 6.70 7.42 8.27 5.92 7.05 7.07 5/22/96 5/22/96 6.20 6.90 8.02 5.94 7.25 6.86 5/23/96 8.18 8.88 10.01 6.92 8.24 8.45 5/24/96 9.16 9.86 9.99 6.91 8.22 8.83 5/25/96 9.14 9.84 9.98 6.90 8.21 8.81 5/27/96 9.10 9.80 8.95 6.87 8.19 8.58 5/28/96 8.08 8.78 8.94 5.86 7.17 7.77 5/22/96¤p-p 8.31 9.01 9.32 6.57 7.88 8.22 5/29/96 5/29/96 8.50 9.21 7.60 5.87 7.11 7.66 5/30/96 8.48 9.19 7.58 5.86 7.09 7.64 5/31/96 10.46 11.17 9.57 5.85 7.08 8.83 6/1/96 12.44 13.15 9.55 5.84 7.07 9.61 6/3/96 12.40 13.11 11.03 5.81 7.05 9.88 6/4/96 15.38 16.09 15.51 6.80 8.03 12.36 5/29/96¤p-p 11.28 11.99 10.14 6.01 7.24 9.33 6/5/96 6/5/96 10.10 10.93 12.95 5.80 5.29 9.01 6/6/96 16.08 16.91 23.93 15.79 10.28 16.60 6/7/96 15.06 15.88 21.92 15.77 9.26 15.58 6/8/96 13.03 13.86 13.90 8.76 5.25 10.96 6/10/96 12.99 13.81 13.87 8.73 5.22 10.92

(29)

6/11/96 12.96 13.79 20.85 13.71 8.21 13.90 6/5/96¤p-p 13.37 14.20 17.90 11.43 7.25 12.83 6/12/96 6/12/96 9.57 10.54 12.53 4.76 4.51 8.38 6/13/96 7.54 8.51 14.52 4.75 4.49 7.96 6/14/96 7.51 8.48 15.50 4.73 4.47 8.14 6/15/96 7.49 8.46 17.49 4.71 4.45 8.52 6/17/96 7.43 8.40 17.47 4.68 4.42 8.48 6/18/96 5.40 6.37 11.45 2.66 2.40 5.66 6/12/96¤p-p 7.49 8.46 14.83 4.38 4.12 7.86 6/19/96 6/19/96 6.67 7.41 10.76 2.74 3.77 14.50 7.64 6/21/96 8.63 9.37 9.73 2.70 2.73 14.47 7.94 6/22/96 6.61 7.35 5.71 0.69 1.71 10.45 5.42 6/24/96 6.57 7.31 5.68 0.65 1.67 10.42 5.38 6/25/96 10.55 11.29 6.67 2.63 1.65 10.41 7.20 6/19/96¤p-p 7.81 8.55 7.71 1.88 2.31 12.05 6.72 6/26/96 6/26/96 14.87 15.72 10.19 5.88 3.86 13.53 10.68 6/27/96 15.85 16.69 8.18 5.86 3.84 11.52 10.32 6/28/96 14.82 15.67 5.17 4.84 2.82 8.50 8.64 6/29/96 11.80 12.64 3.16 2.82 2.80 5.49 6.45 7/2/96 11.73 12.57 10.12 2.77 2.74 12.45 8.73 6/26/96¤p-p 13.81 14.66 7.36 4.43 3.21 10.30 8.96 7/3/96 7/3/96 12.96 13.83 10.69 4.31 3.32 11.89 9.50 7/4/96 14.94 15.80 9.67 3.29 3.30 10.88 9.65 7/5/96 15.91 16.78 12.66 5.27 5.28 13.87 11.63 7/6/96 18.89 19.75 12.65 8.25 6.26 13.86 13.28 7/8/96 18.84 19.70 12.63 8.21 6.22 13.83 13.24 7/9/96 18.82 19.68 13.61 8.19 6.20 14.82 13.55 7/3/96¤p-p 16.73 17.59 11.99 6.25 5.10 13.19 11.81 7/10/96 7/10/96 13.07 14.03 10.84 5.34 4.20 13.36 10.14 7/11/96 15.04 16.00 8.82 5.32 1.19 9.35 9.29 7/12/96 15.01 15.97 11.81 4.30 3.17 10.33 10.10 7/13/96 14.98 15.94 11.80 4.28 3.15 11.32 10.25 7/15/96 14.93 15.89 11.77 4.25 3.11 11.29 10.21 7/16/96 14.90 15.86 10.76 3.23 3.09 11.28 9.85 7/10/96¤p-p 14.66 15.62 10.97 4.45 2.99 11.16 9.97 7/17/96 7/17/96 10.37 11.93 10.68 4.22 5.27 11.91 9.06 7/18/96 10.33 11.88 12.67 5.20 6.25 11.90 9.71

(30)

7/20/96 10.24 11.79 15.65 6.16 6.21 12.87 10.49 7/22/96 10.15 11.70 15.62 6.12 6.17 12.85 10.44 7/23/96 10.11 11.66 15.61 6.10 6.15 12.84 10.41 7/17/96¤p-p 10.25 11.80 13.98 5.66 6.05 12.54 10.05 7/24/96 7/24/96 9.58 10.54 12.31 4.24 5.18 10.46 8.72 7/25/96 9.56 10.52 12.30 4.23 5.16 10.45 8.70 7/26/96 12.53 13.49 13.28 5.21 5.14 10.43 10.01 7/27/96 12.50 13.46 14.26 5.19 5.12 11.41 10.32 7/29/96 14.45 15.41 18.23 5.15 6.08 11.38 11.78 7/30/96 14.42 15.38 17.21 7.13 6.06 16.36 12.76 7/24/96¤p-p 12.17 13.13 14.60 5.19 5.46 11.75 10.38 7/31/96 7/31/96 19.38 20.21 10.35 4.11 3.67 10.72 11.41 8/1/96 19.36 20.19 10.33 4.09 3.65 10.70 11.39 8/2/96 19.34 20.16 10.32 4.06 3.62 10.68 11.36 8/3/96 17.31 18.14 8.30 4.04 3.60 8.67 10.01 8/5/96 17.27 18.09 7.26 3.99 3.55 7.63 9.63 8/6/96 17.24 18.07 8.24 0.96 1.52 8.61 9.11 7/31/96¤p-p 18.32 19.14 9.13 3.54 3.27 9.50 10.48 8/7/96 8/7/96 17.44 18.23 11.32 3.78 1.47 8.97 10.20 8/8/96 17.42 18.20 11.30 7.75 5.44 9.95 11.68 8/9/96 20.40 21.18 12.28 8.73 8.42 11.93 13.82 8/10/96 20.37 21.16 12.26 8.70 8.39 11.91 13.80 8/12/96 20.33 21.11 12.22 8.65 8.34 11.87 13.75 8/13/96 20.31 21.09 11.20 8.62 8.31 11.85 13.56 8/7/96¤p-p 19.38 20.16 11.76 7.71 6.73 11.08 12.80 8/14/96 8/14/96 17.71 18.67 8.80 3.54 3.21 8.72 10.11 8/15/96 16.68 17.64 9.79 3.52 3.18 8.71 9.92 8/16/96 16.65 17.61 10.77 5.49 3.16 7.69 10.23 8/17/96 16.63 17.58 10.76 6.46 3.13 7.68 10.37 8/19/96 16.57 17.53 10.73 6.41 3.08 7.64 10.33 8/20/96 16.54 17.50 9.71 6.38 3.05 7.63 10.14 8/14/96¤p-p 16.80 17.76 10.09 5.30 3.14 8.01 10.18 8/21/96 8/21/96 15.29 16.17 9.32 2.42 1.43 6.41 8.51 8/22/96 17.26 18.14 14.31 10.40 5.54 10.39 12.67 8/23/96 17.24 18.12 15.29 15.38 11.52 14.37 15.32 8/24/96 17.21 18.09 16.27 19.35 16.50 12.36 16.63 8/26/96 23.16 24.04 22.24 26.31 21.46 17.32 22.42 8/27/96 23.14 24.02 20.22 25.29 20.44 13.31 21.07

(31)

8/21/96¤p-p 18.88 19.76 16.28 16.53 12.82 12.36 16.10 8/28/96 8/28/96 16.08 16.88 7.21 5.79 1.79 0.84 8.10 8/29/96 16.06 16.86 6.20 5.77 0.77 0.85 7.75 8/30/96 16.04 16.83 8.19 7.75 1.75 0.86 8.57 8/31/96 16.01 16.81 10.18 15.73 8.73 3.13 11.77 9/2/96 10.97 11.76 11.16 15.69 7.69 1.11 9.73 9/3/96 15.95 16.74 10.15 16.67 8.67 3.09 11.88 8/28/96¤p-p 15.19 15.98 8.85 11.23 4.90 1.65 9.63 9/4/96 9/4/96 13.29 14.05 6.49 10.73 6.90 0.09 8.59 9/5/96 13.26 14.03 9.48 12.71 6.87 0.08 9.41 9/6/96 13.24 14.01 10.47 14.69 6.85 0.07 9.89 9/7/96 13.22 13.99 11.46 15.67 6.83 0.06 10.21 9/9/96 13.18 13.94 9.45 12.62 6.79 0.04 9.34 9/10/96 13.15 13.92 9.44 9.60 3.77 4.96 9.14 9/4/96¤p-p 13.22 13.99 9.47 12.67 6.34 0.88 9.43 9/11/96 9/11/96 12.66 13.36 7.75 10.16 4.61 7.46 9.33 9/12/96 12.64 13.34 5.74 9.14 4.59 7.47 8.82 9/13/96 12.62 13.32 7.73 11.11 4.56 7.48 9.47 9/14/96 12.60 13.30 6.72 12.09 5.54 7.49 9.62 9/16/96 12.56 13.26 9.20 14.04 5.49 7.51 10.34 9/17/96 12.54 13.24 10.69 16.02 5.46 7.52 10.91 9/11/96¤p-p 12.60 13.30 7.97 12.09 5.04 7.49 9.75 9/18/96 9/18/96 12.68 13.45 6.94 12.91 3.64 9.53 9.86 9/19/96 12.66 13.42 8.93 14.89 3.61 9.54 10.51 9/20/96 12.64 13.40 9.92 16.86 5.58 7.54 10.99 9/21/96 12.61 13.38 9.92 16.83 5.55 7.55 10.97 9/23/96 12.57 13.34 7.90 16.78 5.50 7.57 10.61 9/24/96 12.55 13.32 4.89 12.75 2.47 10.58 9.43 9/18/96¤p-p 12.62 13.39 8.08 15.17 4.39 8.72 10.39 9/25/96 9/25/96 14.83 15.61 5.91 7.15 2.41 10.29 26.99 11.88 9/26/96 14.81 15.59 7.91 8.13 2.43 10.30 17.46 10.95 9/30/96 14.72 15.50 7.89 8.03 2.53 10.31 17.36 10.91 10/1/96 14.70 15.48 6.89 6.00 2.55 10.32 15.33 10.18 9/25/96¤p-p 14.77 15.55 7.15 7.33 2.48 10.31 19.29 10.98 10/2/96 10/2/96 13.67 14.44 5.80 6.82 1.61 11.12 16.49 9.99 10/3/96 13.65 14.42 5.79 6.79 1.64 11.13 17.46 10.13 10/4/96 13.63 14.40 6.79 6.76 1.66 11.13 17.44 10.26

(32)

10/7/96 13.56 14.33 8.77 8.69 1.74 11.15 17.36 10.80 10/8/96 13.54 14.31 9.77 7.66 0.23 9.16 18.33 10.43 10/2/96¤p-p 13.61 14.38 7.45 7.41 1.43 10.81 17.42 10.36 10/9/96 10/9/96 10.89 11.56 5.95 7.14 3.24 12.86 14.92 9.51 10/11/96 10.85 11.52 5.94 6.09 4.29 12.87 14.87 9.49 10/12/96 10.83 11.51 5.93 6.07 4.32 12.88 14.84 9.48 10/14/96 10.80 11.47 4.92 6.01 4.37 12.89 14.79 9.32 10/15/96 10.78 11.45 4.91 5.99 4.40 12.90 14.76 9.31 10/9/96¤p-p 10.83 11.50 5.53 6.26 4.12 12.88 14.84 9.42 10/16/96 10/16/96 9.66 10.38 5.65 5.93 3.51 12.06 15.56 8.96 10/17/96 0.36 0.36 25.36 34.10 33.54 34.07 29.46 22.46 10/18/96 11.62 12.34 6.63 5.87 3.57 12.08 16.51 9.80 10/19/96 4.10 12.32 6.63 5.85 3.59 12.08 16.49 8.72 10/21/96 3.24 12.28 5.61 5.80 3.64 12.10 13.43 8.01 10/22/96 3.26 12.26 4.61 4.77 3.67 12.11 11.41 7.44 10/16/96¤p-p 5.37 9.99 9.08 10.39 8.59 15.75 17.14 10.90 10/23/96 10/23/96 2.99 14.63 5.08 4.51 3.41 10.55 9.91 20.29 8.92 10/24/96 5.02 12.61 1.92 0.49 5.43 12.56 3.89 4.55 5.81 10/28/96 5.11 12.51 2.95 0.41 5.51 12.59 3.81 4.46 5.92 10/29/96 9.13 8.49 11.96 1.61 9.54 18.59 2.21 1.56 7.89 10/23/96¤p-p 5.56 12.06 5.48 1.76 5.97 13.57 4.96 7.72 7.13 10/30/96 10/30/96 36.41 5.98 4.80 4.96 2.24 6.07 7.88 8.59 9.62 11/1/96 36.52 5.88 7.79 6.92 4.19 4.08 9.83 10.55 10.72 11/2/96 34.58 7.84 10.79 7.89 6.17 2.09 14.81 15.52 12.46 11/4/96 34.69 7.74 10.77 7.85 6.12 2.10 14.76 15.48 12.44 11/5/96 35.75 6.69 13.77 10.82 8.10 5.89 16.74 17.45 14.40 10/30/96¤p-p 35.59 6.83 9.58 7.69 5.36 4.05 12.80 13.52 11.93 11/6/96 11/6/96 6.84 12.02 4.80 1.51 0.11 2.92 8.68 9.43 5.79 11/7/96 6.87 11.99 2.79 0.52 0.14 2.93 5.66 5.40 4.54 11/8/96 6.89 11.97 3.78 0.54 0.16 2.93 6.63 7.38 5.04 11/9/96 6.92 11.95 2.78 1.57 0.18 2.94 4.61 5.35 4.54 11/11/96 6.97 11.90 2.76 1.61 0.23 2.95 4.56 5.30 4.54 11/6/96¤p-p 6.90 11.97 3.38 1.15 0.16 2.93 6.03 6.57 4.89 11/13/96 11/13/96 5.31 13.35 4.08 1.73 1.18 0.47 7.08 7.85 5.13 11/14/96 6.33 12.32 4.07 0.29 1.16 0.48 6.06 6.82 4.69 11/15/96 6.36 12.30 3.07 0.31 0.13 0.48 4.04 5.80 4.06 11/16/96 6.38 12.27 2.06 2.34 1.89 2.49 2.01 2.78 4.03 11/17/96 6.41 12.25 2.05 2.36 0.08 2.50 3.99 4.75 4.30

(33)

11/18/96 6.43 12.22 2.04 2.39 1.94 2.51 1.96 2.73 4.03 11/19/96 6.45 12.20 3.03 0.41 0.03 2.52 3.94 4.70 4.16 11/13/96¤p-p 6.24 12.42 2.91 1.40 0.92 1.64 4.15 5.06 4.34 11/20/96 11/20/96 2.59 13.97 4.11 1.20 2.75 1.19 6.83 7.63 2.67 4.77 11/21/96 2.61 13.94 3.11 1.17 2.73 1.20 6.80 7.60 3.68 4.76 11/22/96 2.63 13.92 3.10 1.14 2.70 1.21 4.78 5.58 3.69 4.31 11/23/96 2.66 5.90 1.09 1.12 2.68 1.22 4.75 5.55 3.70 3.19 11/25/96 2.70 1.94 1.07 1.07 2.62 1.24 4.70 5.50 3.72 2.73 11/26/96 4.72 3.96 0.94 0.96 1.40 7.25 2.67 3.47 5.73 3.46 11/20/96¤p-p 2.99 8.94 2.24 1.11 2.48 2.22 5.09 5.89 3.87 3.87 11/27/96 11/27/96 10.05 9.20 4.67 1.68 1.05 0.90 4.83 5.58 0.73 4.30 11/28/96 10.08 9.22 2.66 0.66 1.02 0.92 4.81 5.56 0.74 3.96 11/29/96 10.10 9.25 2.64 0.63 2.00 0.93 5.79 6.53 0.24 4.23 11/30/96 10.12 9.27 1.63 0.61 1.98 0.94 5.76 6.51 0.23 4.12 12/2/96 10.17 9.32 1.60 0.56 1.93 0.97 5.72 6.46 0.20 4.10 12/3/96 12.20 11.34 0.41 0.54 3.10 5.98 0.69 1.44 3.81 4.39 11/27/96¤p-p 10.45 9.60 2.27 0.78 1.85 1.77 4.60 5.35 0.99 4.18 12/4/96 12/4/96 5.11 4.27 5.12 3.81 1.02 0.17 4.56 5.25 0.01 3.26 12/5/96 5.13 4.29 5.11 3.79 1.00 0.16 4.53 5.23 1.00 3.36 12/6/96 5.16 4.31 5.10 2.77 0.98 1.85 4.51 5.21 2.01 3.54 12/7/96 5.18 4.34 5.08 2.75 0.96 1.86 4.49 5.18 0.02 3.32 12/9/96 5.23 4.39 5.06 2.70 0.91 1.88 4.45 5.14 0.05 3.31 12/10/96 5.25 4.41 1.95 2.68 2.11 2.90 1.42 2.12 1.06 2.66 12/4/96¤p-p 5.18 4.34 4.57 3.08 1.16 1.47 3.99 4.69 0.69 3.24 12/11/96 12/11/96 9.92 8.92 3.25 5.79 1.93 1.62 5.37 6.05 3.75 5.18 12/12/96 10.95 9.95 2.24 2.76 2.09 1.39 1.35 2.03 0.74 3.72 12/13/96 10.98 9.97 2.22 2.74 2.11 1.40 1.33 2.00 0.72 3.72 12/14/96 11.01 10.00 2.21 0.72 4.13 2.42 0.70 0.02 0.29 3.50 12/16/96 11.07 10.06 2.19 0.68 4.18 2.44 0.74 0.06 0.31 3.53 12/17/96 13.10 12.09 0.17 2.34 6.20 6.45 2.76 2.08 4.33 5.50 12/11/96¤p-p 11.17 10.17 2.05 2.51 3.44 2.62 2.04 2.04 1.69 4.19 12/18/96 12/18/96 9.53 8.58 4.03 5.17 1.25 1.78 4.59 5.26 1.08 4.59 12/19/96 9.55 8.61 6.01 5.15 4.23 0.21 7.57 8.24 3.06 5.85 12/20/96 9.58 8.63 4.99 5.13 4.21 0.19 7.55 8.22 3.04 5.73 12/21/96 9.61 8.66 1.33 5.11 3.19 0.17 6.53 7.20 3.03 14.48 5.93 12/23/96 9.66 8.71 8.53 5.07 3.14 0.14 6.49 7.15 2.99 8.37 6.03 12/24/96 4.69 3.74 4.55 5.05 6.12 5.12 9.47 10.13 10.98 13.35 7.32

(34)

12/27/96 4.77 3.82 5.60 3.99 6.06 3.07 9.41 10.07 7.92 11.29 6.60 12/28/96 4.80 3.85 6.62 2.97 3.04 0.05 6.39 7.05 6.91 8.27 5.00 12/30/96 4.85 3.90 6.66 0.92 1.00 0.02 4.35 5.01 6.87 6.23 3.98 12/31/96 4.88 3.93 7.68 0.10 0.02 - 3.33 3.99 5.85 5.21 3.50 12/18/96¤p-p 6.97 6.02 5.51 3.97 3.58 1.44 6.92 7.58 5.79 9.94 5.65 Á`-p 10.70 11.15 9.55 6.62 4.95 7.49 8.73 6.39 3.06 9.94 8.52

(35)

ªí¥|¡G±Ä¥ÎOne-Factor Vasicek Model ¦ô-p¤U¦C¤½¶Å96 ¦~¥æ©ö»ù®æ¤§»~®t´Þ§Q²v(bp)²Î-p ªí ¤½¶Å ±Ä¥Î¤§§Q ²v´Á--¤é ¤½¶Å ¥æ©ö¤é00851 00852 00853 00751 85308 85104 86101 86102 86103 86104 Á`-p 12/27/95 1/4/96 13.12 13.55 11.72 12.80 1/5/96 11.11 11.54 10.71 11.12 1/6/96 9.09 9.52 2.70 7.10 1/8/96 9.07 9.50 6.69 8.42 1/9/96 10.06 10.49 7.68 9.41 12/27/95¤p-p 10.49 10.92 7.90 9.77 1/10/96 1/10/96 11.40 11.91 11.16 11.49 1/11/96 15.39 15.90 12.15 14.48 1/12/96 17.37 17.89 16.14 17.13 1/13/96 16.36 16.87 14.13 15.79 1/15/96 16.33 16.84 14.11 15.76 1/16/96 17.31 17.83 14.10 16.41 1/10/96¤p-p 15.69 16.21 13.63 15.18 1/17/96 1/17/96 3.57 4.14 11.15 6.29 1/18/96 4.56 5.12 10.14 6.61 1/19/96 5.54 6.10 11.13 7.59 1/20/96 5.52 6.09 11.12 16.20 9.73 1/22/96 5.49 6.05 11.09 12.83 8.87 1/23/96 4.48 5.04 9.08 12.82 7.86 1/17/96¤p-p 4.86 5.42 10.62 13.95 7.96 1/24/96 1/24/96 5.93 6.40 8.07 12.32 8.18 1/25/96 3.92 4.38 6.06 12.31 6.67 1/26/96 1.91 2.37 3.04 9.30 4.16 1/27/96 4.89 5.36 4.03 9.29 5.89 1/29/96 4.87 5.33 4.01 9.27 5.87 1/30/96 3.85 4.32 3.00 9.26 5.11 1/24/96¤p-p 4.23 4.69 4.70 10.29 5.98 1/31/96 1/31/96 7.46 7.96 7.76 14.33 9.38 2/1/96 7.44 7.95 7.75 14.32 9.37 2/2/96 9.43 9.93 9.74 14.31 10.85 2/3/96 11.41 11.92 12.73 16.30 13.09 2/5/96 11.38 11.89 12.71 16.28 13.07 2/6/96 14.37 14.88 13.70 16.27 14.81

(36)

1/31/96¤p-p 10.25 10.76 10.73 15.30 11.76 2/7/96 2/7/96 4.69 5.27 8.48 11.86 7.58 2/8/96 6.68 7.26 9.97 11.84 8.94 2/9/96 9.66 10.24 10.96 12.83 10.92 2/10/96 9.64 10.22 11.94 13.82 11.41 2/12/96 11.61 12.19 13.92 15.80 13.38 2/13/96 24.60 25.17 24.90 32.78 26.86 2/7/96¤p-p 11.15 11.73 13.36 16.49 13.18 2/14/96 2/14/96 6.33 6.80 4.87 10.16 7.04 2/15/96 9.31 9.79 7.86 12.15 9.78 2/16/96 7.30 7.78 6.84 11.14 8.27 2/17/96 7.28 7.76 6.83 11.13 8.25 2/23/96 7.20 7.68 6.77 11.07 8.18 2/24/96 14.19 14.67 7.76 12.06 12.17 2/26/96 14.16 14.64 8.74 12.04 12.40 2/27/96 12.15 12.63 6.72 10.04 10.39 2/14/96¤p-p 9.74 10.22 7.05 11.22 9.56 2/28/96 2/28/96 0.72 1.61 4.04 10.76 4.28 2/29/96 2.30 1.42 1.02 7.75 3.12 3/1/96 4.33 3.44 1.99 1.74 2.88 3/2/96 2.35 1.47 1.01 1.73 1.64 3/4/96 2.40 1.52 1.04 1.70 1.67 3/5/96 0.57 1.46 1.95 3.69 1.92 2/28/96¤p-p 2.11 1.82 1.84 4.56 2.58 3/6/96 3/6/96 2.53 3.43 5.16 8.16 4.82 3/7/96 6.49 5.59 1.86 2.15 4.02 3/8/96 6.52 5.62 1.87 0.14 3.54 3/9/96 6.54 5.65 2.89 0.12 3.80 3/11/96 6.60 5.70 5.92 2.90 5.28 3/12/96 13.62 12.72 16.94 12.92 14.05 3/6/96¤p-p 7.05 6.45 5.77 4.40 5.92 3/13/96 3/13/96 14.93 15.51 10.58 13.32 13.59 3/14/96 0.09 0.49 2.57 3.31 1.62 3/15/96 9.90 10.47 23.56 20.30 16.06 3/16/96 27.88 28.46 33.54 28.29 29.54 3/18/96 27.85 28.42 32.52 27.27 29.02 3/19/96 27.83 28.41 35.51 28.26 30.00 3/13/96¤p-p 18.08 18.63 23.05 20.13 19.97

(37)

3/20/96 3/20/96 8.74 9.37 10.38 5.98 8.62 3/21/96 6.72 7.35 9.36 4.97 7.10 3/22/96 6.70 7.33 9.35 5.96 7.34 3/25/96 7.65 8.28 11.30 11.92 9.79 3/26/96 8.63 9.26 11.29 10.90 10.02 3/20/96¤p-p 7.69 8.32 10.34 7.95 8.57 3/27/96 3/27/96 5.20 5.91 7.55 7.95 6.65 3/28/96 5.18 5.89 9.54 10.94 7.89 4/1/96 6.10 6.81 10.48 12.89 9.07 4/2/96 6.08 6.79 10.46 12.88 9.05 4/5/96 5.02 5.73 9.42 11.84 8.00 4/6/96 4.00 4.71 8.90 11.82 7.36 4/8/96 3.96 4.67 9.37 12.30 7.58 4/9/96 3.94 4.65 8.36 12.29 7.31 3/27/96¤p-p 4.94 5.65 9.26 11.61 7.86 4/10/96 4/10/96 5.60 6.26 8.36 9.43 7.41 4/11/96 5.58 6.24 8.35 9.42 7.40 4/12/96 1.57 2.22 4.33 5.41 3.38 4/13/96 3.45 2.80 3.32 3.40 3.24 4/15/96 3.49 2.83 3.29 3.38 3.25 4/16/96 8.51 7.85 0.28 0.63 4.32 4/10/96¤p-p 4.70 4.70 4.66 5.28 4.83 4/17/96 4/17/96 3.13 3.70 11.52 12.29 7.66 4/18/96 9.11 9.69 15.51 16.28 12.65 4/19/96 15.09 15.67 17.49 19.27 16.88 4/20/96 15.08 15.65 16.48 17.26 16.12 4/22/96 15.04 15.62 16.45 17.23 16.09 4/23/96 15.03 15.60 17.44 17.22 16.32 4/17/96¤p-p 12.08 12.66 15.82 16.59 14.29 4/24/96 4/24/96 5.07 5.73 9.98 10.71 7.87 4/25/96 5.05 5.71 9.96 10.69 7.85 4/26/96 5.04 5.70 9.95 10.68 7.84 4/27/96 5.02 5.68 9.94 9.67 17.15 9.49 4/29/96 4.98 5.64 9.91 9.65 12.90 8.62 4/30/96 0.96 1.62 8.89 9.63 10.89 6.40 4/24/96¤p-p 4.35 5.01 9.77 10.17 13.65 8.03 5/1/96 5/1/96 6.86 7.43 12.19 10.13 13.34 9.99

(38)

5/3/96 6.83 7.40 12.16 10.10 13.32 9.96 5/4/96 10.81 11.38 14.15 14.09 15.30 13.15 5/6/96 10.78 11.35 14.12 14.07 15.28 13.12 5/7/96 12.76 13.33 15.11 14.06 15.27 14.11 5/1/96¤p-p 8.98 9.55 13.32 11.93 14.31 11.62 5/8/96 5/8/96 7.01 7.68 8.01 8.91 10.28 8.38 5/9/96 8.99 9.66 8.00 7.89 10.26 8.96 5/10/96 10.97 11.64 7.98 8.88 10.25 9.94 5/11/96 10.95 11.62 10.97 9.87 11.24 10.93 5/13/96 10.91 11.59 12.94 9.84 11.21 11.30 5/14/96 10.89 11.57 12.92 9.83 11.20 11.28 5/8/96¤p-p 9.95 10.63 10.14 9.20 10.74 10.13 5/15/96 5/15/96 8.14 8.82 7.40 7.39 8.76 8.10 5/16/96 8.12 8.81 7.89 7.37 8.75 8.19 5/17/96 7.10 7.79 6.37 7.36 8.73 7.47 5/18/96 6.08 6.77 7.36 7.35 8.72 7.26 5/20/96 6.04 6.73 7.32 7.32 8.69 7.22 5/21/96 6.02 6.71 9.31 7.31 8.68 7.61 5/15/96¤p-p 6.92 7.61 7.61 7.35 8.72 7.64 5/22/96 5/22/96 5.84 6.53 8.02 6.97 8.34 7.14 5/23/96 7.83 8.51 10.00 7.95 9.32 8.72 5/24/96 8.81 9.49 9.99 7.94 9.31 9.11 5/25/96 8.79 9.47 9.97 7.93 9.30 9.09 5/27/96 8.75 9.43 8.94 7.90 9.27 8.86 5/28/96 7.73 8.41 8.93 6.89 8.26 8.04 5/22/96¤p-p 7.96 8.64 9.31 7.60 8.97 8.49 5/29/96 5/29/96 8.03 8.72 7.44 7.28 8.63 8.02 5/30/96 8.01 8.70 7.42 7.27 8.62 8.00 5/31/96 9.99 10.68 9.41 7.25 8.60 9.19 6/1/96 11.97 12.66 9.39 7.24 8.59 9.97 6/3/96 11.93 12.62 10.86 7.21 8.57 10.24 6/4/96 14.91 15.60 15.35 8.20 9.55 12.72 5/29/96¤p-p 10.81 11.50 9.98 7.41 8.76 9.69 6/5/96 6/5/96 10.52 11.29 12.87 6.56 6.07 9.46 6/6/96 16.50 17.27 23.86 16.55 11.06 17.05 6/7/96 15.48 16.25 21.84 16.53 10.04 16.03 6/8/96 13.46 14.23 13.82 9.52 6.03 11.41 6/10/96 13.41 14.18 13.79 9.49 6.00 11.37

(39)

6/11/96 13.39 14.16 20.77 14.48 8.98 14.36 6/5/96¤p-p 13.79 14.56 17.83 12.19 8.03 13.28 6/12/96 6/12/96 9.68 10.53 13.61 4.32 3.59 8.35 6/13/96 7.66 8.50 15.59 4.31 3.58 7.93 6/14/96 7.63 8.48 16.57 4.29 3.57 8.11 6/15/96 7.61 8.46 18.56 4.28 3.56 8.49 6/17/96 7.56 8.41 18.53 4.26 3.53 8.46 6/18/96 5.54 6.38 12.51 2.25 1.52 5.64 6/12/96¤p-p 7.61 8.46 15.90 3.95 3.23 7.83 6/19/96 6/19/96 4.97 5.75 12.29 1.65 2.12 16.41 7.20 6/21/96 6.93 7.70 11.26 1.63 1.09 16.38 7.50 6/22/96 4.91 5.68 7.24 0.39 0.08 12.36 5.11 6/24/96 4.86 5.64 7.21 0.42 0.05 12.33 5.09 6/25/96 8.84 9.61 8.19 1.57 0.04 12.31 6.76 6/19/96¤p-p 6.10 6.88 9.24 1.13 0.68 13.96 6.33 6/26/96 6/26/96 13.38 14.22 12.04 4.39 1.63 15.95 10.27 6/27/96 14.35 15.20 10.02 4.38 1.62 13.93 9.92 6/28/96 13.33 14.17 7.01 3.37 0.60 10.91 8.23 6/29/96 10.30 11.15 4.99 1.36 0.59 7.90 6.05 7/2/96 10.23 11.07 11.95 1.32 0.56 14.85 8.33 6/26/96¤p-p 12.32 13.16 9.20 2.96 1.00 12.71 8.56 7/3/96 7/3/96 10.68 11.52 12.61 3.36 1.63 14.57 9.06 7/4/96 12.65 13.49 11.60 2.35 1.62 13.56 9.21 7/5/96 13.63 14.47 14.58 4.34 3.61 16.54 11.20 7/6/96 16.61 17.45 14.57 7.32 4.59 16.52 12.84 7/8/96 16.56 17.40 14.53 7.30 4.57 16.49 12.81 7/9/96 16.53 17.37 15.52 7.29 4.56 17.48 13.13 7/3/96¤p-p 14.44 15.28 13.90 5.33 3.43 15.86 11.37 7/10/96 7/10/96 11.71 12.65 12.35 4.90 3.21 15.49 10.05 7/11/96 13.68 14.62 10.33 4.88 0.20 11.48 9.20 7/12/96 13.66 14.59 13.31 3.87 2.19 12.46 10.01 7/13/96 13.63 14.57 13.30 3.86 2.17 13.44 10.16 7/15/96 13.58 14.51 13.26 3.83 2.15 13.41 10.12 7/16/96 13.55 14.49 12.25 2.82 2.13 13.39 9.77 7/10/96¤p-p 13.30 14.24 12.47 4.03 2.01 13.28 9.89 7/17/96 7/17/96 12.48 13.49 12.13 3.33 3.69 14.42 9.92 7/18/96 12.45 13.46 14.11 4.32 4.67 14.40 10.57

(40)

7/20/96 12.40 13.40 17.07 5.30 4.65 15.37 11.37 7/22/96 12.34 13.34 17.04 5.27 4.62 15.33 11.32 7/23/96 12.31 13.32 17.02 5.26 4.61 15.32 11.31 7/17/96¤p-p 12.40 13.41 15.41 4.80 4.48 15.04 10.92 7/24/96 7/24/96 7.48 8.57 14.01 2.30 2.63 12.37 7.89 7/25/96 7.45 8.53 13.99 2.29 2.62 12.35 7.87 7/26/96 10.42 11.50 14.97 3.27 2.61 12.33 9.18 7/27/96 10.39 11.47 15.96 3.26 2.59 13.32 9.50 7/29/96 12.32 13.41 19.92 3.23 3.57 13.28 10.96 7/30/96 12.29 13.38 18.90 5.22 3.56 18.26 11.94 7/24/96¤p-p 10.06 11.14 16.29 3.26 2.93 13.65 9.56 7/31/96 7/31/96 14.91 15.99 13.59 0.46 1.05 14.18 10.03 8/1/96 14.87 15.96 13.57 0.45 1.07 14.16 10.01 8/2/96 14.84 15.93 13.55 0.43 1.08 14.14 10.00 8/3/96 12.81 13.90 11.53 0.42 1.10 12.12 8.65 8/5/96 12.75 13.84 10.49 0.39 1.13 11.08 8.28 8/6/96 12.72 13.81 11.47 2.62 3.14 12.06 9.30 7/31/96¤p-p 13.82 14.91 12.37 0.80 1.43 12.96 9.38 8/7/96 8/7/96 12.35 13.48 15.03 0.97 4.49 12.65 9.83 8/8/96 12.32 13.44 15.01 3.01 0.51 13.63 9.65 8/9/96 15.28 16.41 15.99 4.00 2.48 15.61 11.63 8/10/96 15.25 16.38 15.97 3.98 2.46 15.59 11.61 8/12/96 15.19 16.32 15.93 3.95 2.43 15.55 11.56 8/13/96 15.16 16.28 14.91 3.94 2.42 15.54 11.38 8/7/96¤p-p 14.26 15.39 15.47 3.31 2.47 14.76 10.94 8/14/96 8/14/96 13.40 14.47 11.86 0.96 0.53 12.45 8.95 8/15/96 12.37 13.44 12.84 0.95 0.55 12.43 8.76 8/16/96 12.34 13.41 13.82 2.93 0.56 11.41 9.08 8/17/96 12.31 13.38 13.80 3.92 0.58 11.39 9.23 8/19/96 12.25 13.32 13.76 3.89 0.61 11.35 9.20 8/20/96 12.22 13.29 12.74 3.87 0.62 11.33 9.01 8/14/96¤p-p 12.48 13.55 13.14 2.75 0.58 11.73 9.04 8/21/96 8/21/96 12.51 13.47 11.26 0.85 3.66 8.69 8.41 8/22/96 14.48 15.44 16.24 8.84 3.33 12.67 11.83 8/23/96 14.45 15.41 17.22 13.82 9.31 16.65 14.48 8/24/96 14.42 15.38 18.20 17.81 14.30 14.64 15.79 8/26/96 20.37 21.33 24.17 24.78 19.27 19.60 21.59 8/27/96 20.34 21.30 22.15 23.77 18.26 15.58 20.23

(41)

8/21/96¤p-p 16.10 17.06 18.21 14.98 11.36 14.64 15.39 8/28/96 8/28/96 14.34 15.05 8.58 6.28 1.58 1.39 7.87 8/29/96 14.32 15.03 7.57 6.27 0.57 1.37 7.52 8/30/96 14.30 15.01 9.55 8.26 1.55 1.36 8.34 8/31/96 14.27 14.99 11.54 16.24 8.54 5.34 11.82 9/2/96 9.23 9.95 12.51 16.22 7.52 3.31 9.79 9/3/96 14.21 14.93 11.49 17.20 8.50 5.30 11.94 8/28/96¤p-p 13.45 14.16 10.21 11.75 4.71 3.01 9.55 9/4/96 9/4/96 10.40 11.05 8.20 12.23 7.60 2.98 8.74 9/5/96 10.38 11.03 11.19 14.22 7.59 2.97 9.56 9/6/96 10.36 11.01 12.17 16.21 7.58 2.95 10.05 9/7/96 10.34 10.99 13.16 17.19 7.56 2.94 10.36 9/9/96 10.31 10.96 11.13 14.17 7.54 2.91 9.50 9/10/96 10.29 10.94 11.11 11.15 4.52 2.11 8.35 9/4/96¤p-p 10.35 11.00 11.16 14.20 7.07 2.81 9.43 9/11/96 9/11/96 8.13 8.81 10.34 11.46 4.93 3.70 7.90 9/12/96 8.11 8.79 8.32 10.44 4.91 3.72 7.38 9/13/96 8.09 8.77 10.31 12.43 4.90 3.73 8.04 9/14/96 8.07 8.75 9.29 13.42 5.88 3.75 8.19 9/16/96 8.03 8.71 11.76 15.39 5.86 3.78 8.92 9/17/96 8.01 8.69 13.24 17.37 5.84 3.80 9.49 9/11/96¤p-p 8.07 8.75 10.54 13.42 5.39 3.75 8.32 9/18/96 9/18/96 6.68 7.39 10.01 15.08 4.64 4.88 8.11 9/19/96 6.66 7.37 12.00 17.06 4.62 4.90 8.77 9/20/96 6.64 7.35 12.98 19.05 6.61 2.91 9.26 9/21/96 6.62 7.33 12.96 19.03 6.59 2.93 9.24 9/23/96 6.58 7.29 10.93 19.00 6.56 2.96 8.89 9/24/96 6.56 7.27 7.91 14.99 3.55 5.98 7.71 9/18/96¤p-p 6.62 7.33 11.13 17.37 5.43 4.09 8.66 9/25/96 9/25/96 5.73 6.46 7.95 14.71 4.33 5.83 27.57 10.37 9/26/96 5.71 6.44 9.94 15.69 4.31 5.85 22.93 10.12 9/30/96 5.63 6.36 9.87 15.63 4.25 5.92 22.87 10.08 10/1/96 5.60 6.33 8.85 13.61 4.23 5.94 20.85 9.34 9/25/96¤p-p 5.67 6.40 9.15 14.91 4.28 5.89 23.56 9.98 10/2/96 10/2/96 5.00 5.74 8.46 13.40 4.03 6.29 20.68 9.09 10/3/96 4.98 5.72 8.44 13.38 4.02 6.31 21.66 9.22 10/4/96 4.96 5.70 9.43 13.37 4.00 6.33 21.64 9.35