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B-Spline Modelling and Fitting the Term Structure

In: Capital Market Instruments

Author

Listed:
  • Moorad Choudhry

    (Europe Arad Bank plc)

  • Didier Joannas

    (Thomson Reuters-Risk in North Asia)

  • Gino Landuyt

    (Europe Arad Bank plc)

  • Richard Pereira
  • Rod Pienaar

    (UBS AG prime services)

Abstract

For market practitioners, zero-coupon rate curves are the basic tools used to value interest-rate based instruments. Curves are built using market data such as money market rates, swap rates, interest rates futures or bond prices as inputs. Despite the name, it is not in fact the ‘zero coupon’ rates that are the most important output from a curve fitting methodology, but rather a set of quantities known as discount factors. It is these that are crucial for the pricing of interest rate-based instruments.

Suggested Citation

  • Moorad Choudhry & Didier Joannas & Gino Landuyt & Richard Pereira & Rod Pienaar, 2010. "B-Spline Modelling and Fitting the Term Structure," Palgrave Macmillan Books, in: Capital Market Instruments, edition 0, chapter 9, pages 186-202, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-27938-4_9
    DOI: 10.1057/9780230279384_9
    as

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