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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Bibliographic Details
Main Author: Du Preez, Paul Fourie
Other Authors: Prof E Mare
Published: 2013
Subjects:
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/