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- W1515094731 abstract "Adams and Deventer(1994) showed a model for fitting forward rate curves which are solved by using the maximum smoothness as the objective function and the observed bond prices as the constrained conditions. The first part of this paper provides further study on the theoretical essence of Adams and Deventer's model. We find that the parameters of the forward rate function are very sensitive to the constrained conditions and not all of the samples are suited for the conditions suggested by Adams and Deventer. As for these samples, an approach for finding advisable conditions is introduced in this paper. In order to test if the original specifications are the best, some revisions are tried, such as changing the definition of maximum smoothness, using coupon bond data instead of zero-coupon bond data, and trying the possibility of other forward rate functional forms. Furthermore, this model is extended to the application of fitting yield curves. The second part is made up of empirical studies. Adams and Deventer's model is applied to fit the forward rate curves by using the short -term bill, interest rate swaps, and government bond data in the Taiwan market, and the interest rate swap data is also used to fit the yield curves in the way derived in this paper.Key words: maximum smoothness, forward rate curves, yield curves, spline method, duration adjustment method, zero-coupon adjustment method" @default.
- W1515094731 created "2016-06-24" @default.
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- W1515094731 date "1998-07-31" @default.
- W1515094731 modified "2023-09-27" @default.
- W1515094731 title "Further Study on Fitting Forward Rate Curves with Maximum Smoothness" @default.
- W1515094731 hasPublicationYear "1998" @default.
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