Yield curve estimation and prediction with Vasicek Model

Bayazıt, Derviş
The scope of this study is to estimate the zero-coupon yield curve of tomorrow by using Vasicek yield curve model with the zero-coupon bond yield data of today. The raw data of this study is the yearly simple spot rates of the Turkish zero-coupon bonds with different maturities of each day from July 1, 1999 to March 17, 2004. We completed the missing data by using Nelson-Siegel yield curve model and we estimated tomorrow yield cuve with the discretized Vasicek yield curve model.
Citation Formats
D. Bayazıt, “Yield curve estimation and prediction with Vasicek Model,” M.S. - Master of Science, Middle East Technical University, 2004.