Loading...
research article
Exact Smooth Term Structure Estimation
Willems, Sander
•
Filipovic, Damir
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications.
Type
research article
Authors
Willems, Sander
•
Filipovic, Damir
Publication date
2018
Published in
Volume
9
Issue
3
Start page
907
End page
929
Peer reviewed
REVIEWED
Written at
EPFL
EPFL units
Relation | URL/DOI |
IsSupplementedBy | |
Available on Infoscience
October 15, 2018
Use this identifier to reference this record