zero curve generator for uk gilts anjam ,
here is the model for fitting the term structure of uk gilts .
the basic idea is as follows :
dirty price _ { ith gilt } = sum _ { j } c _ { i } / 2 * discount factor ( t _ { j , i } ) +
100 * discount factor ( t _ { ni , i }
using a five parameters analytical form for the discount factors , and
minimizing the sum of
absolute errors , i can derive a smooth zero curve . the model needs an
initial guess
for the parameters , this may require some experience . the log file can help
you to see
how well the optimization works .
let me know if you have any questions .
zimin
zero curve generator for uk gilts
anjam ,
here is the model for fitting the term structure of uk gilts .
the basic idea is as follows :
dirty price _ { ith gilt } = sum _ { j } c _ { i } / 2 * discount factor ( t _ { j , i } ) +
100 * discount factor ( t _ { ni , i }
using a five parameters analytical form for the discount factors , and
minimizing the sum of
absolute errors , i can derive a smooth zero curve . the model needs an
initial guess
for the parameters , this may require some experience . the log file can help
you to see
how well the optimization works .
let me know if you have any questions .
zimin