maximum forward rate smoothing
- maximum forward rate smoothing
An alternative yield curve smoothing technique. The most accurate yield curve smoothing method for forward rates. The yield curve with the smoothest possible forward rate function, consistent with observable data, is closely related to but significantly different from the popular cubic spline approach to the smoothing of both yields and discount bond prices. The yield curve which produces the smoothest possible forward rates consistent with given zero coupon bond prices has a quartic forward rate function which spans each time interval between observable data points. This contrasts with the cubic polynomial that is used to fit either yields or discount bond prices in the cubic spline approach. This method produces the smoothest possible forward rate curve (with f'=0 at the longest maturity) that causes the interpolated yield curve to be totally consistent with the observable data.
Financial and business terms.
2012.
Look at other dictionaries:
smoothing — Also called yield curve smoothing. The name for a set of alternative techniques for creating continuous yield curves by connecting the dots between observed. If, for example, we have observed rates for 1, 2, 3, 5 and 10 year maturities, smoothing … Financial and business terms
FreeTrack — Infobox Software name = caption = latest release version = v2.2 latest release date = October 7, 2008 operating system = Microsoft Windows genre = Optical motion tracking license = GNU General Public License website = [http://www.free track.net/… … Wikipedia
Cladistics — For the scientific journal, see Cladistics (journal). Part of a series on Evolutionary Biology … Wikipedia
bank — bank1 /bangk/, n. 1. a long pile or heap; mass: a bank of earth; a bank of clouds. 2. a slope or acclivity. 3. Physical Geog. the slope immediately bordering a stream course along which the water normally runs. 4. a broad elevation of the sea… … Universalium
hand tool — any tool or implement designed for manual operation. * * * Introduction any of the implements used by craftsmen in manual operations, such as chopping, chiseling, sawing, filing, or forging. Complementary tools, often needed as auxiliaries to… … Universalium
Inertial confinement fusion — (ICF) is a process where nuclear fusion reactions are initiated by heating and compressing a fuel target, typically in the form of a pellet that most often contains a mixture of deuterium and tritium.To compress and heat the fuel, energy is… … Wikipedia
Heat equation — The heat equation is an important partial differential equation which describes the distribution of heat (or variation in temperature) in a given region over time. For a function of three spatial variables ( x , y , z ) and one time variable t ,… … Wikipedia
airplane — /air playn /, n. 1. a heavier than air aircraft kept aloft by the upward thrust exerted by the passing air on its fixed wings and driven by propellers, jet propulsion, etc. 2. any similar heavier than air aircraft, as a glider or helicopter. Also … Universalium
Moving average — For other uses, see Moving average (disambiguation). In statistics, a moving average, also called rolling average, rolling mean or running average, is a type of finite impulse response filter used to analyze a set of data points by creating a… … Wikipedia
Capacitor — This article is about the electronic component. For the physical phenomenon, see capacitance. For an overview of various kinds of capacitors, see types of capacitor. Capacitor Modern capacitors, by a cm ruler Type Passive … Wikipedia
