MADAN, DILIP B.; SCHOUTENS, WIM - In: International Journal of Theoretical and Applied … 15 (2012) 06, pp. 1250043-1
Observing that pure discount projection curves are now based on a variety of tenors leads us to enquire into the possibility of theoretically deriving tenor specific zero coupon bond prices. The question then also arises on how to construct tenor specific prices for all financial contracts....