Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence
We will show that the constrained least square problem proposed in Konno and Takase  for estimating the forward rate sequence by using the market prices of default-free non-callable coupon bonds is in fact a convex minimization problem under more general conditions than those assumed in the subsequent paper by the same authors . Consequently, the constrained least square approach can generate a smooth and accurate forward rate sequence very fast by standard convex minimization algorithms. Copyright Kluwer Academic Publishers 1997
Volume (Year): 4 (1997)
Issue (Month): 2 (May)
|Contact details of provider:|| |
Web page: http://www.jafee.gr.jp/
|Order Information:||Web: http://www.springer.com/finance/journal/10690/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-48, May.
- McCulloch, J Huston, 1971.
"Measuring the Term Structure of Interest Rates,"
The Journal of Business,
University of Chicago Press, vol. 44(1), pages 19-31, January.
- Tom Doan, . "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
- Delbaen, F. & Lorimier, Sabine, 1992. "Estimation of the yield curve and the forward rate curve starting from a finite number of observations," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 259-269, December.
When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:4:y:1997:i:2:p:179-185. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.