9 votes
Accepted

Bond curve fitting, practical question

Let's define the problem as follows: Given a set of $N$ bonds, we wish to create a discount curve, composed of $M$ degrees of freedom, so as to minimize the weighted price errors: $$ \min_{m_1...m_M} \...
Helin's user avatar
  • 11.7k
7 votes

Bond curve fitting, practical question

@Helin provided a great answer for the specific question. I would note that when curve building your framework always falls under one of three regimes: Completely specified: the number of degrees of ...
Attack68's user avatar
  • 10.2k

Only top scored, non community-wiki answers of a minimum length are eligible