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Bond pricing with a surface of zero coupon yields

Murik, Vijay


We present a new method for consistent cross-sectional pricing of all traded bonds in the fixed income market. By applying thin plate regression splines (Wood, 2003) to bootstrapped zero coupon bond yields (Hagan and West, 2006), the method decomposes tra

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: Accounting and Finance
DOI: 10.1111/j.1467-629X.2012.00479.x


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