Daniele Marazzina () (SEMEQ Department - Faculty of Economics - University of Eastern Piedmont)
Abstract
The aim of this work is to present a Matlab implementation of different methods for estimating the term structure of interest rate. More precisely, we implement the exponential functional form of Nelson-Siegel and polynomial spline methods (with or without penalty term), considering both coupon bonds, like Italian Btp, and Libor and Swap interest rates. Furthermore, we compare the models'performances, considering both computational costs and approximation results.
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Paper provided by SEMEQ Department - Faculty of Economics - University of Eastern Piedmont in its series Working Papers with number
112.