Discount curve construction with tension splines
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 10 (2007)
Issue (Month): 3 (December)
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Web page: http://www.springerlink.com/link.asp?id=102989
Discount curves; Hyperbolic tension splines; Bond pricing; Swap pricing; Perturbation locality; Optimality;
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- Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
- Bianchetti, Marco, 2008. "Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," MPRA Paper 22022, University Library of Munich, Germany, revised 24 Jan 2010.
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