Abstract

Alternative methodologies are compared for measuring the term structure of interest rates via monotone approximations to the discount function. Some empirical comparisons using coupon bond data show that a simple linear methodology based on rational tension spline parametrizations turns out to yield the most efficient compromise between the conflicting goals of goodness of fit and smoothuess of the interpolaut

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.