DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES
نویسندگان
چکیده
منابع مشابه
Discount curve estimation by monotonizing McCulloch Splines
In this paper a new and very simple method for monotone estimation of discount curves is proposed. The main idea of this approach is a simple modification of the commonly used (unconstrained) McCulloch Spline. We construct an integrated density estimate from the predicted values of the discount curve. It can be shown that this statistic is an estimate of the inverse of the discount function and...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2008
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024908004919