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estimating yield curve
If I have to estimate yield curve for any currency for next 20 years, how can I use swap rate data provided in financial times for that.
estimating yield curve
The simplest way is to use the data as grid points and interpolate the values between them.
Last edited by Tadragh1 on March 21st, 2007, 11:00 pm, edited 1 time in total.
estimating yield curve
QuoteOriginally posted by: armanaIf I have to estimate yield curve for any currency for next 20 years, how can I use swap rate data provided in financial times for that.Do you mean 1.how the yield curve will look like in 20 years or 2.how the yield curve currently looks like until a Tenor of 20 Years?If it is 1 and you find a solution...Tell me!!
estimating yield curve
It depends on your purpose. If you wanna forwards implied in spot curve, it's better computing zero rates and then forwards. If you wanna use a model, again it depends. For pricing use a risk neutral model (Libor model), for computing var a risk actual mode,l in my opinion, is better (pca, rebonato).Ciao