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research article
Exact Smooth Term-Structure Estimation
January 1, 2018
We present a nonparametric 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
Web of Science ID
WOS:000445804500002
Authors
Publication date
2018-01-01
Publisher
Published in
Volume
9
Issue
3
Start page
907
End page
929
Peer reviewed
REVIEWED
Available on Infoscience
December 13, 2018
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