Interest Rate Term Structure Decomposition at the Instrument Level
Applied Economics and Finance, 2019, vol. 6, issue 3, 7-27
The paper examines term structure decomposition at the instrument level ¨C decomposing term structures for issues as well as the portfolio. Three different implementations are stipulated: axiomatic structural approaches, a sequential approach, and a base structure approach. The three different implementations are evaluated against a portfolio of risk-free government bonds. The goodness-of-fit and smoothness properties of instrument-level term structure decomposition are also considered. The conclusion points to remaining gaps in theory regarding instrument-level term structure decomposition, and considers areas of application ¨C typically bond valuation.
Keywords: term structure decomposition; instrument valuation; bond valuation (search for similar items in EconPapers)
JEL-codes: R00 Z0 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:6:y:2019:i:3:p:7-27
Access Statistics for this article
More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().