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- W4251978967 abstract "This chapter reviews the most common techniques employed to fit the yield curve from market inputs using an interpolation model. There are accessible descriptions and illustrations of the cubic polynomial and cubic spline. There is also an in-depth section about nonparametric curve fitting methods, including Nelson and Siegel. A worked example demonstrates how to use the techniques in practice. In a subsequent section we show, without delving into mathematical detail, how to construct a family of yield curves to reprice vanilla instruments, and how credit risk can be added on top of the risk-free curves. We show that there are further practical difficulties associated with this exercise." @default.
- W4251978967 created "2022-05-12" @default.
- W4251978967 date "2014-06-20" @default.
- W4251978967 modified "2023-10-14" @default.
- W4251978967 title "Fitting the Yield Curve" @default.
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- W4251978967 doi "https://doi.org/10.1002/9781118638330.ch5" @default.
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