PricingTermStructure

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Question about a formula implementation and how to extract the term premium

20

Hi; The fitted yield is quite good , have a question about this code snippet for i in range(0, n_maturities - 1): A[0, i+1] = A[0, i] + B[:, i].T...

skienthu

Estimating term premia

5

I have written a code in R and the yields fit very nicely. Once I set the lambda parameters to zero, recalculate As and Bs with recursion and calculate the...

urskabele