Yield curve estimation and prediction with Vasicek Model

Date

2004

Author

Bayazıt, Derviş

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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.

Subject Keywords

Probabilities.

URI

http://etd.lib.metu.edu.tr/upload/12605126/index.pdf
https://hdl.handle.net/11511/14584

Collections

Graduate School of Applied Mathematics, Thesis