Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence

Hiroshi Konno

Asia-Pacific Financial Markets, 1997, vol. 4, issue 2, 179-185

Abstract: We will show that the constrained least square problem proposed in Konno and Takase [5] for estimating the forward rate sequence by using the market prices of default-free non-callable coupon bonds is in fact a convex minimization problem under more general conditions than those assumed in the subsequent paper by the same authors [6]. Consequently, the constrained least square approach can generate a smooth and accurate forward rate sequence very fast by standard convex minimization algorithms. Copyright Kluwer Academic Publishers 1997

Keywords: convex minimization problems; forward rate sequence; least square approach; term structure of interest rates. (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1009677915798

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