Economics and Finance

    

Interest Rate Curve Simulation

Authors: David Lee

Interest rate curves play an important role in financial market. Curve forecasting is used for risk management, hedge, and arbitrage. The article proposes a model for simulating forward interest rate. The number of drivers is to be three to adequately capture the short-, medium-, and long-term rates since each is driven by different mechanism, e.g., short-end is driven primarily by policy maker; long-end driven by market, although policy maker could also assert influence through Operation "Twist".

Comments: 22 Pages.

Download: PDF

Submission history

[v1] 2024-07-13 19:21:06

Unique-IP document downloads: 264 times

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