The Term Structure, its Estimation, and Smoothing

Eliezer Z Prisman

Chapter 3 in Lecture Notes in Fixed Income Fundamentals, 2017, pp 69-118 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the last chapter we investigated the meaning of the discount factors and their relation to the NA condition, and valuing future cash flows utilizing the present value concept. Some financial instruments, that also fall into the class of derivative securities, are valued based on risk-free discount factors. The valuation concept of these instruments is induced by the noarbitrage condition. These securities are valued either by replication or by applying to their cash flow the discount factors.

Keywords: Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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