Bootstrapping the illiquidity : multiple-yield-curve construction for market-coherent discount and FRA rates estimation
Year of publication: |
2013
|
---|---|
Authors: | Ametrano, Ferdinando M. ; Bianchetti, Marco |
Published in: |
Interest rate modelling after the financial crisis. - London : Risk Books, ISBN 978-1-906348-93-9. - 2013, p. 153-215
|
Subject: | Zinsstruktur | Yield curve | Bootstrap-Verfahren | Bootstrap approach | Zinsderivat | Interest rate derivative |
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