An investigation into popular methods for constructing yield curves
In this dissertation we survey a variety of methods for constructing zero-coupon yield curves. We show that, when accuracy is of the utmost importance, the bootstrap described by Hagan and West (2006), Smit (2000), and Daeves and Parlar (2000) provides the ideal framework. This bootstrap requires th...
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2013
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Online Access: | http://hdl.handle.net/2263/25882 Du Preez, FP 2011, An investigation into popular methods for constructing yield curves, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25882 > http://upetd.up.ac.za/thesis/available/etd-06262012-161357/ |