This paper considering the current situation of the treasury security market in China,improves the FNZ model and Waggoner model from five aspects: the fitted object,the function in describing the roughness penalty,the method of estimating parameters,the optimal function and the sample.Then,we propose to approximate China's term structure of interest rates with the improved variable roughness penalty cubic smoothing spline approach.Also,this paper carries out an empirical work with the daily trea...