Discount curve construction with tension splines

DOI10.1007/S11147-008-9021-2MaRDI QIDQ941730zbMATH OpenOpenAlexFDO

Authors L. Andersen

Publication date 2 September 2008

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-008-9021-2

zbMATH Keywords

bond pricingdiscount curveshyperbolic tension splinesoptimalityperturbation localityswap pricing

Mathematics Subject Classification ID

Spline approximation (41A15) Numerical computation using splines (65D07) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• Analysis of Discrete Ill-Posed Problems by Means of the L-Curve
• Bandwidth choice for nonparametric regression
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• Interpolation Methods for Curve Construction
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• Scalar- and planar-valued curve fitting using splines under tension
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation

Cited in

(9)

• A note on interest rate term structure estimation using tension splines
• Measurement of interest rates using a convex optimization model
• \(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations
• Term structure extrapolation and asymptotic forward rates
• Kriging of financial term-structures
• Application of exponential splines and rational interpolation to the pricing of zero-coupon bonds
• DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES
• Exact smooth term-structure estimation
• Stripping the Swiss discount curve using kernel ridge regression

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