论文信息 - Estimation of the yield curve and the forward rate curve starting from a finite number of observations

Estimation of the yield curve and the forward rate curve starting from a finite number of observations

Abstract The yield curve and the forward rate curve are estimated from given values of the yield-to-maturity. Using data from 1986 through 1991 a few illustrations of yield curves and forward rate curves are presented.

Freddy Delbaen | Sabine Lorimier

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