B-Spline Modelling and Fitting the Term Structure
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.
KeywordsCash Flow Discount Factor Term Structure Bond Number Bond Price
Unable to display preview. Download preview PDF.
Selected Bibliography and References
- 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
- De Clermont-Tonnerre, A., and Lévy, M. A. Zero-Coupon Bonds and Bond Stripping, IFR Publishing, 1995.Google Scholar
- James, N. and Webber, A. Interest Rate Modelling, Wiley, 2000.Google Scholar
- Joannas, D. Optimisation de formes en aérodynamique, Ph.D. thesis, Université de Saint Etienne, France, 1992.Google Scholar
- Riesler, J. J. Méthodes mathématiques pour la C.A.O., Masson, 1991.Google Scholar