Exact smooth term structure estimation

Damir Filipović (Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute), Sander Willems (Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute)

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications

MoreLess

Year of publication:	June 3, 2016
Authors:	Filipović, Damir ; Willems, Sander
Publisher:	Geneva : Swiss Finance Institute
Subject:	Bootstrap \| discount curve \| forward curve \| splines \| term-structure estimation \| Zinsstruktur \| Yield curve \| Schätztheorie \| Estimation theory \| Bootstrap-Verfahren \| Bootstrap approach \| Schätzung \| Estimation

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (circa 28 Seiten) Illustrationen
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 16-38
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	10.2139/ssrn.2794083 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011516039