Modeling a term structure of interest rates
Modeling a term structure of interest rates

Author(s): Paweł Kliber
Subject(s): Economy, Business Economy / Management, Financial Markets
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu
Keywords: term structure of interest rates;bootstrapping interest rates;discount curve;splines;spot rates;forward rates;IRS;swaps;Nelson-Siegel model;Svensson model;
Summary/Abstract: The paper deals with modelling the term structure of interest rates. Starting from the basic concepts connected with time value of money, it introduces and describes various types of interest rates. The methods of estimating terms structure of interest rates from bonds’ prices are presented here. The chapter ends with the description of the main models of term structure of interest rates that are used by central banks worldwide.

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