Calibration of short rate term structure models from bid-ask coupon bond prices (Q2148264)
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scientific article; zbMATH DE number 7546913
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| English | Calibration of short rate term structure models from bid-ask coupon bond prices |
scientific article; zbMATH DE number 7546913 |
Statements
Calibration of short rate term structure models from bid-ask coupon bond prices (English)
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23 June 2022
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zero coupon bond prices
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short rate model calibration
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maximum entropy in the mean
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interest rate swaps
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0.7819077968597412
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0.7617382407188416
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0.7509421110153198
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0.7402337193489075
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0.7395700812339783
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