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Yield Curves with Mathematica 6

Jan Hurt
Organization: Charles University of Prague

2007 Wolfram Technology Conference
Conference location

Champaign, IL


This contribution is concerned with analysis of the profile of interest rates (IRs) over time, also known as term structure of IRs. The graphical representation of the dependence of IRs on time to maturity is the yield curve (YC). A common problem for the financial analysts is either to construct or estimate the YC from market data. There is a variety of numerical and statistical techniques for doing it. Some parametric and nonparametric methods of fitting the YC will be discussed and a comparison with results obtained by interpolation will be given. Among other criteria, the integrated mean squared error will be used and an economic interpretation of it will be given. An illustration on real and simulated data will be presented.

*Business and Economics
*Wolfram Technology

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YieldCurves.nb (430.1 KB) - Mathematica Notebook [for Mathematica 6.0]