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Fitting the yield curve
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Orientador(es)
Resumo(s)
This paper is concerned with the fitting of the yield curve in order to achieve a
continuous term structure of interest rates by applying two methods: the cubic
polynomial spline by McCulloch (1975), and the Nelson-Siegel-Svensson (1994).
Subsequently, a trading model is used to make sensitivity analysis decisions on whether
to buy or sell a bond (reach/cheap analysis). Finally, with the purpose of forecasting
future yields, out-of-sample forecasts are calculated for the parameters of the Nelson-Siegel-Svensson.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Palavras-chave
Fitting Yield curve McCulloch Nelson-Siegel-Svensson