Interest Rate Term Structure Decomposition at the Instrument Level
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- David Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.
- David Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers 04-48, Bank of Canada.
- Edwin J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
- Brian Barnard, 2019. "Interest Rate Term Structure Decomposition: An Axiomatic," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 84-96, January.
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More about this item
Keywords
term structure decomposition; instrument valuation; bond valuation;All these keywords.
JEL classification:
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
- Z0 - Other Special Topics - - General
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