BOND YIELD CURVE CONSTRUCTION USING HYBRID NM-SPIRAL OPTIMIZATION FOR NELSON-SIEGEL MODEL AND NELSON-SIEGEL-SVENSSON MODEL AND USING SMOOTHING SPLINE
The yield curve has an important role in the economy as a reference for determining the fair value of a bond, a benchmark for bond yields, and for summing up economic expectations. Several models that can be used to construct yield curve are the Nelson-Siegel (1987), the Nelson-Siegel-Svensson (1...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/74569 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |