Abstract
In the previous chapter we discussed a number of issues relating to the yield curve market. This chapter will go into more detail on how one actually constructs a yield curve model, and how that model can be used to estimate value, analyse and compute risk measures.
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Further reading
Deventer, K. J. (1994) ‘Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness’, The Journal of Fixed Income. 52–62.
Patrick S. Hagan, G. W. (2008) Methods for Constructing a Yield Curve, WILMOTT magazine.
Ron, U. (2000) ‘A Practical Guide to Swap Curve Construction’, Bank of Canada Working Paper 2000–17.
West, G. (n.d.) ‘A brief comparison of interpolation methods for yield curve construction’, www.finmod.co.za.
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© 2013 Andrew Sutherland and Jason Court
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Sutherland, A., Court, J. (2013). The Mechanics of Simple Yield Curve Construction. In: The Front Office Manual. Global Financial Markets. Palgrave Macmillan, London. https://doi.org/10.1057/9781137030696_4
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DOI: https://doi.org/10.1057/9781137030696_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-44055-9
Online ISBN: 978-1-137-03069-6
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