近年來我國政府對債券市場積極推動制度變革，且隨著國內資本市場加速專業化，使得市場參與者試圖預測未來市場利率結構的變化更為殷切，為建構一個有效率且準確的債券殖利率曲線模型，本研究首次嘗試利用McAdams and Karagiannis (1994) 的多變量區別分析 (Multiple Discriminant Analysis , MDA) 模型，透過台灣債券市場等殖成交系統的日資料，來預測債券市場未來利率走勢，另外，也利用Nelson and Siegel (1987) 的變數精簡模型作預測，經由兩種交易策略的運用，分別觀察兩個預測模型是否能準確的預測債券市場未來利率走勢，達到顯著正報酬的效果。
因此，本研究藉由簡單介紹與說明兩個利率模型的基本定義，運用兩種交易策略的操作，使投資人對利率模型的預測有進一步認識，再由交易策略的操作，使投資人能夠更加了解模型預測未來利率市場走勢的重要性。
而本研究利用MDA模型、Nelson and Siegel模型，得到交易實證結果為，Bullet and Barbell交易策略具有免疫功能的特性，而價差交易策略則具有高風險、高預期報酬的特性。因此，只要能夠有效運用本文所提出之模型做利率預測，則利用任何一種交易策略都能達到交易者預期的效果。

Our aggressive government promotes the system of the bond market to improve in recent years. With accelerating specialization of the domestic capital market, it is eagerest that makes the participant in the market attempt to forecast the term structure of interest rates in the future. In order to construct an efficient and accurate bond yield curve model, this study try to research the Multiple Discriminant Analysis Model of McAdams and Karagiannis (1994) in the first time. According to the daily data of the deal system by Taiwanese bond market, it forecasts that there is a tendency toward in the bond market. It is interesting to contrast the Nelson and Siegel (1987) Model. Through two trading strategies, this study can observe that two models can forecast the term structure of interest rates accurately. It shows to get to the result of positive returns.
This research is by recommending and stating the basic definition of two interest rate models briefly. Using the operation of trading strategies, the investor can forecast the term structure of interest rates. With trading strategies, the investor can superior to understand the model of interest rates.
This study of the MDA model, Nelson and Siegel model, conclusions are the followings : the Bullet-Barbell trading strategy has a characteristic of immunization. The spread trading strategy has characteristics, including of risky, and high expectancy return. It is possible that the model can forecast the term structure of interest rates, so that any kind of transaction strategies will get the brilliant performance.

國內部份
1、張伯鴻，「公債交易策略之風險、報酬、及績效之研究---以中央政府公債<841>期為例」，輔仁大學金融研究所碩士論文，民國九十四年。
2、韓 文，「固定收益商品交易策略研究」，台灣大學財務金融研究所碩士論文，民國九十三年。
3、高士鳳，「曲線配適技術與利率模型間一致性之探討-以台灣市場為例」，清華大學科技管理研究所碩士論文，民國九十三年。
4、吳士偉，「運用技術指標與國內外長短期利差 決定台灣公債最適交易策略」，銘傳大學財務金融學系碩士論文，民國九十三年。
5、賴威達，「債券組合凸性極大化交易策略之比較」，台灣大學財務金融學研究所碩士論文，民國九十三年。
6、賴彥汝，「利率期限結構之估計與債券交易策略」，台灣大學財務金融學研究所碩士論文，民國九十三年。
7、張簡裕明，「在不同免疫策略下臺灣地區債券投資組合績效比較」，交通大學管理科學研究所碩士論文，民國九十二年。
8、張居興，「台灣政府公債投資策略研究-追求流動性輪換策略之實證分析」，台灣大學財務金融研究所碩士論文，民國九十二年。
9、古維廉，「殖利率曲線與波動曲線對利率商品避險策略影響之研究」，台灣大學財務金融研究所碩士論文，民國九十一年。
10、蔡瓊霈，「利率波動對殖利率曲線形狀之探究-蝶式交易策略之應用」，台北大學企業管理所碩士論文，民國九十一年。
11、陳美娥，「台灣公債利率期限結構之配適-以契比雪夫多項式為例」，台灣科技大學企業管理系碩士論文，民國八十九年。
12、余維恆，「殖利率曲線非平行移動時Bullet與Barbell策略相對績效比較」，台灣大學財務金融研究所碩士論文，民國八十八年。
13、馮士耀，「配適最平滑之遠期利率曲線」，台灣大學商學研究所碩士論文，民國八十七年。
14、陳書瀚，「利率期限結構共同因子數與其性質之研究」，台灣大學財務金融研究所碩士論文，民國八十六年。
15、賴曉璐，「政府公債殖利率曲線形狀與免疫策略系統的選擇」，台灣大學財務金融研究所碩士論文，民國八十六年。
16、周文賢，「多變量統計分析：SAS / STAT使用方法」，智勝文化，民國九十一年。

國外部份
1、Adams, K.J. and D.R. Van Deventer, (1994) , “Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness”, Journal of Fixed Income, 4, pp.52-62.
2、Altman, Edward I., (1968) , ”Financial Ratio, Discriminant Analysis and the Predication of Corporate Bankruptcy”, Journal of Finance, pp.589-609.
3、Angelini, F. and S. Herzel, (2002) , “Consistent Initial Curves for Interest Rate Models”, Journal of Derivatives, Summer, pp.8-17.
4、Antti Ilmanen, (1997) , “Forecasting U.S. Bond Returns”, Journal of Fixed Income, June, pp.22-36.
5、Antti Ilmanen and Ray Iwanowski, (1997) , “Dynamics of the Shape of the Yield Curve”, Journal of Fixed Income, September, pp.47-60.
6、Brennan, M.J. and E.S. Schwartz, (1979) , “A Continuous Time Approach to the Pricing of Bonds”, Journal of Banking and Finance, pp.135-155.
7、Chambers, D.R., W.T. Carleton, and D.R. Waldman, (1984) , “A New Approach to Estimation of the Term Structure of Interest Rate”, Journal of Financial and Quantitative Analysis, pp.223-252.
8、Fong, H.G. and O.A. Vasicek, (1991) , “Fixed Income Volatility Management”, Journal of Portfolio Management, Summer, pp.41-46.
9、Fong, H.G. and O.A. Vasicek, (1992) , “Interest Rate Volatility as a Stochastic Factor”, working paper, Gifford Fong Associates.
10、Fong, H.G. and O.A. Vasicek, (1991) , “Fixed Income Volatility Management”, Journal of Portfolio Management, pp.41-46.
11、Frank J. Jones, (1991) , “Yield Curve Strategies”, Journal of Fixed Income, September, pp.43-51.
12、Litterman, R. Scheinkman, J. amd Weiss, L, (1991) , “Volatility and Yield Curve”, Journal of Fixed Income, pp.49-53.
13、Lloyd McAdams and Evangelos Karagiannis, (1994) , “Using Yield Curve Shapes to Manage Bond Portfolios”, Financial Analysts Journal, May-June, pp.57-60.
14、McCulloch, J.H., (1971) , “Measuring the Term Structure of Interest Rates”, Journal of Business, January, pp.19-31.
15、Nelson, C.R. and A.F. Siegel, (1987) , “Parsimonious Modeling of Yield Curves”, Journal of Business, 60, pp.473-489.
16、Ram Willner, (1996) , “A New Tool for Portfolio Managers: Level, Slope, and Curvature Durations”, Journal of Fixed Income, June, pp.48-59.
17、Richard Deaves, (1996) , “Forecasting Canadian Short-Term Interest Rates”, Canadian Journal of Economics, August, pp.615-633.
18、Robert Litterman and José Scheinkman, (1991) , “Common Factors Affecting Bond Returns”, Journal of Fixed Income, June, pp.54-61.
19、W. Brian Barrett, Thomas F. Gosnell, JR., and Andrea J. Heuson, (1995) , “Yield Curve Shifts and the Selection of Immunization Strategies”, Journal of Fixed Income, September, pp.53-64.
20、W. Brian Barrett, Thomas F. Gosnell, and Andrea J. Heuson, (2004) , “Term-Structure Factor Shifts and Economic News”, Financial Analysts Journal, September-October, pp.81-94.
21、Steeley, J.M., (1991) , “Estimating and Interpreting Forward Interest Rates：Basis Splines and Confidence Intervals”, Journal of Business Finance and Accounting, 18, pp.513-529.
22、Vasicek, O.A., (1977) , “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics, pp.177-188.