文章基本信息

标题：The functional form of yield curves
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作者：Vincent Brousseau
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2002
出版社：European Central Bank
摘要：Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yield curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon.
关键词：Yield curves; affine models; bootstrapping; swaps; bonds; futures; functional form