先进的收益率曲线校准，混合插值方案&如何结合跳跃和年轮效应

DecisionSciRN: Other Financial Decision-Making (Sub-Topic) Pub Date : 2021-08-02 DOI:10.2139/ssrn.3898069

N. Burgess

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引用次数: 0

摘要

收益率曲线用于暗示市场交易工具的远期利率和贴现因子，并用于贴现未来现金流量和评估所有金融合约的价格。并非所有的工具都可以包括在收益率曲线校准或拟合过程中，因此我们插入任何缺口和缺失的远期利率。在本文中，我们讨论了插值的最佳实践，以及如何将市场跳跃和年轮(ToY)效应纳入收益率曲线校准。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we interpolate any gaps and missing forward rates. In this paper we discuss interpolation best practise and how to incorporate market jumps and turn of year (ToY) effects into yield curve calibration.

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DecisionSciRN: Other Financial Decision-Making (Sub-Topic)

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