Interest Rate Modeling: A Matlab Implementation

Daniele Marazzina ()
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Daniele Marazzina: SEMEQ Department - Faculty of Economics - University of Eastern Piedmont

No 112, Working Papers from SEMEQ Department - Faculty of Economics - University of Eastern Piedmont

Abstract: The aim of this work is to present a Matlab implementation of different methods for estimating the term structure of interest rate. More precisely, we implement the exponential functional form of Nelson-Siegel and polynomial spline methods (with or without penalty term), considering both coupon bonds, like Italian Btp, and Libor and Swap interest rates. Furthermore, we compare the models'performances, considering both computational costs and approximation results.

Keywords: Interest Rate; Matlab; Spline; Term Structure; Italian Market (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 39
Date: 2007-04
New Economics Papers: this item is included in nep-cmp and nep-mon
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