Abstract
In financial markets, the term structure of interest rates is crucial to pricing of fixed income securities and derivatives. The last thirty years have seen great advances in the financial economics of term structure of interest rates. This chapter will focus on interpolating the term structure of interest rates from discrete bond yields. Refer to Campbell, Lo, and MacKinlay (1997) for basic concepts in fixed income calculations and Hull (1997) for an introduction to theoretical term structure modeling.
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(2006). Term Structure of Interest Rates. In: Modeling Financial Time Series with S-PLUS®. Springer, New York, NY. https://doi.org/10.1007/978-0-387-32348-0_16
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DOI: https://doi.org/10.1007/978-0-387-32348-0_16
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