I'm currently looking to implement some version of the yield curve modeling techniques in the maximum smoothness framework. The papers I have found so far explains the theory pretty well, but I find them somewhat hard to replicate. Does anyone here know any easy-to-replicate papers on the topic? The ones I have read so far are:

  1. Fitting yield curves and forward rate curves with maximum smoothness - Adams, Van Deventer, 1994
  2. Positive forward rates in the maximum smoothness framework - Manzano, Blomvall, 2004

Thanks in advance for any input :)


Suggest the worked examples in Chapter 5 (and for credit spreads, Chapter 17) in van Deventer, Imai and Mesler, Advanced Financial Risk Management, 2nd edition, 2013, John Wiley & Sons, Singapore. Good luck.


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