Table 2: Time-varying volatility interest rate parameters.

Deadline year(s)
Price of bonds (yuan) Volatility of short-term interest rate (%)
Annual profit rate of bonds (%)
1-year long-term interest rate (%) Variance Sum of Delta (%)
Delta
(%)
Drift item
(%)
Sum of drift items (%)
Expectation (%)

0 1.66.1450.01280.0128 0.45480.45486.145
10.9404 1.5 6.145 6.587 0.000256 0.04650.0337 1.22571.68056.5998
20.8805 1.2 6.366 7.779 0.001186 0.07680.0303 −0.44771.23287.8255
30.8146 1.3 6.837 7.3010.002722 0.14040.06367.3778
40.7572 6.953 0.00553