Weryfikacja modeli krzywej dochodowości na podstawie metod dynamicznych
Yield curve verification based on the correlation surface method

Summary/Abstract: In countries with well developed inter-bank market the parsimonious models play an important role in the monetary policy. For several years central banks have utilized different objective functions to determine whether the model fits the market data. To show which model is appropriate to local market data the dynamic methods were applied. They cover the functional form of the implied forward rate volatility and correlation surface of the implied forward rate. The paper shows the appropriate correlation surface and points the objective function for yield curve modelling on the Polish market (based on WIBOR data and Svensson model).

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