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The Term Structure, its Estimation, and Smoothing

In: Lecture Notes in Fixed Income Fundamentals

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  • Eliezer Z Prisman

Abstract

In the last chapter we investigated the meaning of the discount factors and their relation to the NA condition, and valuing future cash flows utilizing the present value concept. Some financial instruments, that also fall into the class of derivative securities, are valued based on risk-free discount factors. The valuation concept of these instruments is induced by the noarbitrage condition. These securities are valued either by replication or by applying to their cash flow the discount factors.

Suggested Citation

  • Eliezer Z Prisman, 2017. "The Term Structure, its Estimation, and Smoothing," World Scientific Book Chapters, in: Lecture Notes in Fixed Income Fundamentals, chapter 3, pages 69-118, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813149779_0003
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    More about this item

    Keywords

    Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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