Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003
eigenstructure of estimated forward rate correlation matrices. These are shown to be dominated by the semi-parametric or parametric … form that is used in the yield curve model. The spectral decomposition of forward rate correlation - and covariance … used to calibrate the lognormal forward rate model, it is best to use Svensson forward rate correlation matrices. However …