Discount curve estimation by monotonizing McCulloch splines

dc.contributor.author	Dette, H.
dc.contributor.author	Ziggel, D.
dc.date.accessioned	2006-05-04T09:52:53Z
dc.date.available	2006-05-04T09:52:53Z
dc.date.issued	2006-05-04T09:52:53Z
dc.description.abstract	In this paper a new and very simple method for monotone estimation of discount curves is proposed. The main idea of this approach is a simple modification of the commonly used (unconstrained) Mc-Culloch Spline. We construct an integrated density estimate from the predicted values of the discount curve. It can be shown that this statistic is an estimate of the inverse of the discount function and the final estimate can easily be obtained by a numerical inversion. The resulting procedure is extremely simple and we have implemented it in Excel and VBA, respectively. The performance is illustrated by three examples, in which the curve was previously estimated with an unconstrained McCulloch Spline.	de
dc.format.extent	305111 bytes
dc.format.mimetype	application/pdf
dc.identifier.uri	http://hdl.handle.net/2003/22397
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-14247
dc.language.iso	en
dc.subject	Discount curves	de
dc.subject	Excel	de
dc.subject	Mc-Culloch spline	de
dc.subject	Monotone estimation	de
dc.subject	VBA	de
dc.subject.ddc	004
dc.title	Discount curve estimation by monotonizing McCulloch splines	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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