Estimation of zero-coupon curves in DataMetrics
Research Paper
January 1, 2010
Preview
DataMetrics is modifying its technique for estimating zero-coupon interbank and government benchmark curves. The new algorithm is employed together with additional synchronized input data to deliver better-quality curves. The modified technique assumes the instantaneous forward rate is a constant between the maturity dates of observable interest rates. Together, the flat forward technique and new input data increase pricing and risk measurement accuracy, particularly at the short end. The flat forward technique is shown to be preferable to plausible alternative approaches.
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