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Estimating yield curves from swap, BUBOR and FRA data

  • Zoltán Reppa


    (Magyar Nemzeti Bank)

In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves.

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Paper provided by Magyar Nemzeti Bank (Central Bank of Hungary) in its series MNB Occasional Papers with number 2008/73.

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Length: 34 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:mnb:opaper:2008/73
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