Found 2 datasets matching "FRS data models".
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The yield curve, also called the term structure of interest rates, refers to the relationship between the remaining time-to-maturity of debt securities and the yield on those securities. Yield...
Search relevance: 50.05 | Views last month: 6 -
This is a no-arbitrage dynamic term structure model, implemented as in Kim and Wright using the methodology of Kim and Orphanides. The underlying model is the standard affine Gaussian model with...
Search relevance: 50.05 | Views last month: 4
