Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates

DOI10.1016/J.INSMATHECO.2023.11.003MaRDI QIDQ6152712zbMATH OpenOpenAlexFDO

Authors

Publication date 13 February 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.11.003

zbMATH Keywords

Chinese government bondendogenous and positiveEURIBOR swaprisk-free interest rate curveSmith-Wilson methodsolvency IIultimate forward rate (UFR)

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Note on the Smith-Wilson interest rate curve
• Term structure extrapolation and asymptotic forward rates
• Issues with the Smith-Wilson method
• A CONSTRAINED LEAST SQUARE METHOD FOR ESTIMATING A SMOOTH, NONNEGATIVE FORWARD RATE SEQUENCE
• Positive forward rates in the maximum smoothenss framework

Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interpolation Methods for Curve Construction
• Issues with the Smith-Wilson method
• Pricing interest-rate-derivative securities
• Term structure extrapolation and asymptotic forward rates

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