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Browsing Mathematics and Applied Mathematics by Subject "Yield curves"
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(Department of Economics, University of Pretoria, 2013)This paper presents a method for interpolating yield curve data in a manner that ensures positive and continuous forward curves. As shown by Hagan and West (2006), traditional interpolation methods suffer from problems: ...
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(University of Pretoria, 2012-07-03)In this dissertation we survey a variety of methods for constructing zero-coupon yield curves. We show that, when accuracy is of the utmost importance, the bootstrap described by Hagan and West (2006), Smit (2000), and ...
Now showing items 1-2 of 2