Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates (Q6152712)
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scientific article; zbMATH DE number 7804024
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| English | Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates |
scientific article; zbMATH DE number 7804024 |
Statements
Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates (English)
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13 February 2024
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ultimate forward rate (UFR)
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Smith-Wilson method
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risk-free interest rate curve
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endogenous and positive
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solvency II
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Chinese government bond
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EURIBOR swap
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0.7431647777557373
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0.7406672835350037
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0.6956919431686401
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0.6794829964637756
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0.6791044473648071
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