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research article
Conditions For Consistent Exponential-Polynomial Forward Rate Processes With Multiple Nontrivial Factors
We present conditions that allow consistent exponential-polynomial forward curve models with two exponential terms to have more than one nontrivial factor. This result leads to seven- and nine-parameter extensions of the Svensson model, for which the consistency conditions allow for two and three stochastic parameters respectively.
Type
research article
Authors
Publication date
2004
Volume
07
Issue
06
Start page
685
End page
700
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
August 13, 2013
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