Research of curve fitting method combined with LPR based on attention mechanism

Abstract

With the continuous deepening of interest rate market reform, how to break through the blockage of market interest rate transmission to loan interest rates has become a new challenge for fund transfer pricing. A single combination of loan interest rates and market interest rates tends to ignore their respective problems. At present, LPR interest rates are difficult to form a good interaction with policy interest rates. At the same time, the high volatility of market interest rates cannot adapt to the cost of deposits and loans. Therefore, we eliminates the high volatility peaks of market interest rates, and integrates market interest rates and LPR interest rates through a neural network model to construct an internal fund transfer pricing benchmark curve. Commercial banks can make adjustments based on their own development needs and give full play to the role of FTP in the transmission of interest rates.