Zero-Coupon Yield Curve Estimation with the Package termstrc
Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal star...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2010-10-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v36/i01/paper |