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Nov 11

Yield Curve Modelling

Posted by abiao at 22:29 | Code » Matlab | Comments(0) | Reads(13735)
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada, where the authors used Cubic-spline, B-spline and MLES spline curve to model interest rate curve, including a penalty in the generalized least-squares objective function.

Interested ppl can refer to the PDF document and Matlab codes are at appendix. http://www.bankofcanada.ca/en/res/wp/2002/wp02-29.html


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