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B-Spline Modelling and Fitting the Term Structure

  • Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

For market practitioners, zero-coupon rate curves are the basic tools used to value interest-rate based instruments. Curves are built using market data such as money market rates, swap rates, interest rates futures or bond prices as inputs. Despite the name, it is not in fact the ‘zero coupon’ rates that are the most important output from a curve fitting methodology, but rather a set of quantities known as discount factors. It is these that are crucial for the pricing of interest rate-based instruments.

Keywords

Cash Flow Discount Factor Term Structure Bond Number Bond Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Selected Bibliography and References

  1. Brown, P. N. and Saad, Y. ‘Hybrid Krylov method for non linear systems of equations’, Journal of Statistical Computation, 11, 3, May 1990.Google Scholar
  2. De Clermont-Tonnerre, A., and Lévy, M. A. Zero-Coupon Bonds and Bond Stripping, IFR Publishing, 1995.Google Scholar
  3. James, N. and Webber, A. Interest Rate Modelling, Wiley, 2000.Google Scholar
  4. Joannas, D. Optimisation de formes en aérodynamique, Ph.D. thesis, Université de Saint Etienne, France, 1992.Google Scholar
  5. Vasicek, O., Oldrich, A. and Gifford-Fong, H. Term structure modelling using exponential splines, Journal of Finance, 37, 2, May 1982.CrossRefGoogle Scholar
  6. Riesler, J. J. Méthodes mathématiques pour la C.A.O., Masson, 1991.Google Scholar

Copyright information

© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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