Nyholm, Ken; Rebonato, Riccardo - In: Applied Financial Economics 18 (2008) 20, pp. 1597-1611
Two methods for evolving forward the yield curve are evaluated and contrasted within a Monte Carlo experiment: one is originally presented by Rebonato et al. (2005) and the other by Bernadell et al. (2005). A detailed account for how to implement the models is also presented. Results suggest...