November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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VALUATION OF FIXED CASH FLOWS WITH PERFECT REPLICATION 19
and this can be calculated from the parameters given by Solver. The result
is that you should now have good estimates of a continuous spot rate curve
and of a continuous instantaneous forward rate curve.
1.4
Further reading
1. Carleton, W.T. and I. Cooper (1982) 'Estimation and Uses of
the Term Structure of Interest Rates'
Journal of Finance 31(4),
p. 1067-1083.
2. Ronn, E.I. (1987) 'A New Linear Programming Approach to Bond
Portfolio Management'
Journal of Financial and Quantitative Analysis
22(4), p. 439-466.
1.5
Questions ...
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