Fitting the Term Structure of Interest Rates with a Modified Cubic Smoothing Spline
Spline functions are widely used in the fitting of the term structure of interest rates. This article provides a technique for selecting the smoothest curve in the set of spline functions which satisfy the conditions assigned by the user on the precision of the fitting curve.
- Issue Date
- 1996-11
- Language
- English
- Citation
THE JOURNAL OF FINANCIAL ENGENNERING, v.5, no.2, pp.147 - 159
- ISSN
- 1062-8924
- Appears in Collection
- MT-Journal Papers(저널논문)
- Files in This Item
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