Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
An investigation into popular methods for constructing yield curves
Dissertation (MSc)--University of Pretoria, 2012.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Published: |
University of Pretoria
2013
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613713190617088 |
|---|---|
| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria |
| description | Dissertation (MSc)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/25882 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:40:31.230Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/25882 An investigation into popular methods for constructing yield curves Mare, Eben pfdupreez@gmail.com Du Preez, Paul Fourie Yield curves UCTD Dissertation (MSc)--University of Pretoria, 2012. In this dissertation we survey a variety of methods for constructing zero-coupon yield curves. We show that, when accuracy is of the utmost importance, the bootstrap described by Hagan and West (2006), Smit (2000), and Daeves and Parlar (2000) provides the ideal framework. This bootstrap requires the use of an interpolation algorithm, and a large portion of this dissertation will thus be devoted to the task of establishing an ideal method for interpolating yield curve data. Only two of the interpolation methods considered in this dissertation are seen to perform promisingly: the monotone convex method developed by Hagan and West (2006), and the monotone preserving r(t)t method developed in this dissertation. We show that the monotone preserving r(t)t method performs slightly better than the monotone convex method, in terms of the continuity of the forward curve, and in terms of the stability of the interpolation function. When economic appeal is of the utmost importance, we find parametric models to be more suitable than bootstrapping. However, we show that bootstrapping can be used to obtain a hypothetical set of zero-coupon bond prices, which can be used to calibrate parametric models. We compare the performance of the Nelson and Siegel (1987) and Svensson (1992) models, when applied to a historic set of South African swap curves, and show that the Svensson (1992) model performs better than the Nelson and Siegel (1987) model on a consistent basis. Copyright Mathematics and Applied Mathematics unrestricted 2013-09-07T01:08:17Z 2012-07-03 2013-09-07T01:08:17Z 2012-04-13 2012-07-03 2012-06-26 Dissertation Du Preez, FP 2011, An investigation into popular methods for constructing yield curves, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25882 > E12/4/466/gm http://hdl.handle.net/2263/25882 http://upetd.up.ac.za/thesis/available/etd-06262012-161357/ © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria application/pdf University of Pretoria |
| spellingShingle | Yield curves UCTD An investigation into popular methods for constructing yield curves |
| title | An investigation into popular methods for constructing yield curves |
| title_full | An investigation into popular methods for constructing yield curves |
| title_fullStr | An investigation into popular methods for constructing yield curves |
| title_full_unstemmed | An investigation into popular methods for constructing yield curves |
| title_short | An investigation into popular methods for constructing yield curves |
| title_sort | investigation into popular methods for constructing yield curves |
| topic | Yield curves UCTD |
| url | http://hdl.handle.net/2263/25882 http://upetd.up.ac.za/thesis/available/etd-06262012-161357/ |