Zero Coupon Yield Curve Estimation with the Package Termstrc PDF Download
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Author: Robert Ferstl
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.
Author: Robert Ferstl
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.
Author: Kentaro Kikuchi
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
Author: B. F. Hunt
Publisher:
ISBN:
Category : Zero coupon securities
Languages : en
Pages : 18
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Book Description
Author: Nicola Anderson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
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Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Author: Attila Csajbók
Publisher:
ISBN: 9789639057197
Category :
Languages : en
Pages : 0
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Author: Attila Csajbok
Publisher:
ISBN:
Category : Banks and banking, Central
Languages : en
Pages : 41
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Author: Bank for International Settlements
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Book Description
Following a meeting on the estimation of zero-coupon yield curves held at the BIS in June 1996, participating central banks have since been reporting their estimates to the Bank for International Settlements. The BIS Data Bank Services provide access to these data, which consist of either spot rates for selected terms to maturity or represent estimated parameters from which spot and forward rates can be derived. In the case estimated parameters are reported, the Data Bank Services provides, in addition to the parameters also the generated spot rates. The purpose of this document is to facilitate the use of these data. It provides information on the reporting central banks' approaches to the estimation of the zero-coupon yield curves and the data transmitted to the BIS Data Bank. In most cases, the contributing central banks adopted the so-called Nelson and Siegel approach or the Svensson extension thereof. A brief overview of the relevant estimation techniques and the associated mathematics is provided below. General issues concerning the estimation of yield curves are discussed in Section 1. Sections 2 and 3 document the term structure of interest rate data available from the BIS. The final section provides examples of estimated parameter and selected spot and forward rates derived thereof. A list of contacts at central banks can be found after the references. The remainder of this document consists of brief notes provided by the reporting central banks on approaches they have taken to estimate the yield curves. Since the last release of this manual in March 1999 there have been four major changes: Switzerland started to report their estimates of the yield curve to the BIS in August 2002. Furthermore, Sweden began to use a new estimation method in 2001, the United Kingdom since September 2002 and Canada since January 2005. These changes are included in Tables 1 and 2.
Author:
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Category :
Languages : en
Pages :
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Book Description
The scope of this study is to estimate the zero-coupon yield curve of tomorrow by using Vasicek yield curve model with the zero-coupon bond yield data of today. The raw data of this study is the yearly simple spot rates of the Turkish zero-coupon bonds with different maturities of each day from July 1, 1999 to March 17, 2004. We completed the missing data by using Nelson-Siegel yield curve model and we estimated tomorrow yield cuve with the discretized Vasicek yield curve model.
Author: Frank Fabozzi
Publisher: McGraw Hill Professional
ISBN: 007171538X
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author: Srichander Ramaswamy
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The term structure of interest rates plays a central role in the valuation, pricing and management of interest rate dependent securities. In this paper I focus on the application of the B-Spline methodology to construct zero coupon and forward rate curves for the swap market. By allowing the placements of the knot points for the B-splines to be part of the optimisation process it is possible to construct smooth zero coupon curves that do not violate the bid-ask constraints of the market rates/prices observed.
