A note on interest rate term structure estimation using tension splines

✍ Scribed by Luca Barzanti; Corrado Corradi

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 366 KB
• Volume: 22
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(97)00035-8

✦ Synopsis

Tension splines are proposed as a flexible tool for interest rate term structure estimation to circumvent some difficulties arising with tbe ordinary cubic spline estimators. A few computational experiments on test problems support the merits of the proposed approach.