1
$\begingroup$

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 :)

$\endgroup$
2
$\begingroup$

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.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.