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  • Search: subject:"Term-structure construction methods"
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OIS discounting curves 1 Term-structure construction methods 1 affine term-structure models 1 arbitrage-free bounds 1 credit curves 1 model risk 1
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Free 1
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Book / Working Paper 1
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Cousin, Areski 1 Niang, Ibrahima 1
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HAL 1
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On the Range of Admissible Term-Structures
Cousin, Areski; Niang, Ibrahima - HAL - 2014
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes and a certain degree of smoothness. When present values...
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