On yield curves of the European central bank
In this paper it is showed that the yield curve of the European Central Bank (ECB) does not satisfy the no arbitrage conditions. For this it is need to add one more term to yield curve. As the state variables, it is necessary to choose a four-dimensional diffusion Gaussian process. Fifth factor is determined from the no arbitrage conditions. The version of the modification of the yield curve proposed in the paper differs from the earlier proposed modifications in order to ensure the absence of arbitrage opportunities.
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Keywords
кривые доходности, форвардные кривые, модель Нельсона-Зигеля-Свенссона, условия отсутствия арбитража, yield curve, forward curve, Nelson-Siegel-Svensson model, no arbitrage conditionsAuthors
| Name | Organization | |
| Medvedev Gennady Alexeevich | Belarusian State University | MedvedevGA@bsu.by |
References
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On yield curves of the European central bank | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2017. № 41. DOI: 10.17223/19988605/41/5
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