On the Nelson-Siegel-Svensson no-arbitrage yield curve models | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2015. № 3(32).

On the Nelson-Siegel-Svensson no-arbitrage yield curve models

It is shown that the requirement to satisfy the no-arbitrage conditions specifies the Nelson-Siegel-Svensson model in the sense that gives for coefficients of this model the obvious economic sense: the free coefficient should be function on term to maturity, and other coefficients should depend on the market state variables which, in turn, are selective values of stochastic processes at time point for which the time structure is designed. It is shown that the model is the member of family of affine yield models and is generated by two-dimensional model of a short-term interest rate for Nelson-Siegel model or four-dimensional model of a short-term interest rate for Nelson-Siegel-Svensson model.

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Keywords

term structure, yield curve, factor model, affine no-arbitrage models, Nelson-Siegel yield model, временная структура, кривая доходности, факторная модель, аффинные безарбитражные модели, модели доходности Нельсона-Сигеля

Authors

Name	Organization	E-mail
Medvedev Gennady A.	Belarusian State University (Minsk, Belarus)	MedvedevGA@cosmostv.by

Всего: 1

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