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1、YieldCurveModelingYolandaS.StanderYIELDCURVEMODELINGThispageintentionallyleftblankYieldCurveModelingYOLANDAS.STANDER©YolandaS.Stander2005Allrightsreserved.Noreproduction,copyortransmissionofthispublicationmaybemadewithoutwrittenpermission.Noparagraphofthisp
2、ublicationmaybereproduced,copiedortransmittedsavewithwrittenpermissionorinaccordancewiththeprovisionsoftheCopyright,DesignsandPatentsAct1988,orunderthetermsofanylicencepermittinglimitedcopyingissuedbytheCopyrightLicensingAgency,90TottenhamCourtRoad,LondonW1
3、T4LP.Anypersonwhodoesanyunauthorisedactinrelationtothispublicationmaybeliabletocriminalprosecutionandcivilclaimsfordamages.TheauthorhasassertedherrighttobeidentifiedastheauthorofthisworkinaccordancewiththeCopyright,DesignsandPatentsAct1988.Firstpublished200
4、5byPALGRAVEMACMILLANHoundmills,Basingstoke,HampshireRG216XSand175FifthAvenue,NewYork,N.Y.10010CompaniesandrepresentativesthroughouttheworldPALGRAVEMACMILLANistheglobalacademicimprintofthePalgraveMacmillandivisionofSt.Martin’sPress,LLCandofPalgraveMacmillanL
5、td.Macmillan®isaregisteredtrademarkintheUnitedStates,UnitedKingdomandothercountries.PalgraveisaregisteredtrademarkintheEuropeanUnionandothercountries.ISBN-13:978–1–4039–4726–0ISBN-10:1–4039–4726–0Thisbookisprintedonpapersuitableforrecyclingandmadefromfullym
6、anagedandsustainedforestsources.AcataloguerecordforthisbookisavailablefromtheBritishLibrary.AcatalogrecordforthisbookisavailablefromtheLibraryofCongress.1098765432114131211100908070605PrintedandboundinGreatBritainbyAntonyRoweLtd,ChippenhamandEastbourneSpeci
7、althankstomypartner,RudivanderLinde,whowasthefirstpersontoreadthisbook.Itwouldnotbepossiblewithouthishelpandsupport.Iwouldalsoliketomentiontwoextraordinarypeoplewhotaughtmealotaboutriskmanagement:JurieBesterandSatyajitDas.ThispageintentionallyleftblankConte
8、ntsListoffiguresixListoftablesxiii1Introduction11.1Yieldcurvebackground21.2Mainapproachestomodelingyieldcurves31.3Thelayoutofthebook52Conceptsandterminology82.1Zerointerestrates92.2Discountfactors122.3
