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1

There could be many reasons: You're using on-the-run yields, but the Fed's fitted curves are off-the-run yield curves. You're using only a few points on the curve, the Fed uses virtually all outstanding issues. The optimization, as you stated, is unstable. There's also no guarantee that the Fed's parameters are necessarily the best. If you look at the ...


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Conceptually, let's say you sell a bond three months after the previous coupon date. Because you've sold the bond, you won't receive the next coupon payment, which happens in three months' time. But you deserve half of the next coupon payment, because you've held onto it for half the coupon period. That's what accrued interest is. Accrued interest, in ...


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US Treasuries follow the Actual/Actual day count convention, so you can't make the assumption that there are 180 days in a coupon period. Let's assume that the settlement date (T + 1 for US Treasuries) is 8/6/2015, the previous coupon date for a bond is 7/31/2015, and the next coupon date is 1/31/2016. Then the number of days in the coupon period is 184 ...


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Your term_1, which represent the zero coupon rates, are expressed in %. You have to divide the values by 100 to compute discount factors.


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First of all you need to get the YTM. The parametric model has an economic interpretation so coupons would mess the estimation and the interpretation of your model. Because of that the values of both taus must be restricted so you can avoid multicoliniarity. If they are the same you are saying that both curvatures are on the same tenor but then your model is ...



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