Essays about: "multiple yield curves"

Found 3 essays containing the words multiple yield curves.

  1. 1. Zero Coupon Yield Curve Construction Methods in the European Markets

    University essay from KTH/Matematik (Avd.)

    Author : Andreas Möller; [2022]
    Keywords : Zero coupon; Yield curve construction; Forward monotone convex spline; Cubic spline; Nelson Siegel; Nelson Siegel Svensson; Hedge; Interpolation; Parameterization; Evaluation; Principal component; Nollkupong; Yieldkurva; Forward monotone convex spline; Kubisk spline; Nelson Siegel; Nelson Siegel Svensson; Interpolering; Parameterisering; Utvärdering; Principalkomponent; Hedge;

    Abstract : In this study, four frequently used yield curve construction methods are evaulated on a set of metrics with the aim of determining which method is the most suitable for estimating yield curves from European zero rates. The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline interpolation. READ MORE

  3. 2. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE

  4. 3. Hedging of a foreign exchange swapbook using Stochastic programming

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Emma Bohlin; Jonatan Harling; [2021]
    Keywords : term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Abstract : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. READ MORE