Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices
نویسندگان
چکیده
منابع مشابه
Technical Notes - Interest Rate Volatility and Bond Prices
Managing interest rate risk requires measuring it first. Duration analysis has become an important tool, allowing portfolio managers to measure the sensitivitv of their portfolios to changes in 'the level of interest rates. But duration analysis has a number of serious drawbacks. Standard duration analysis, for instance, allows for only parallel shifts in the term structure. Thus portfolio mana...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1998
ISSN: 1556-5068
DOI: 10.2139/ssrn.86789