The table below presents the forward curve for a range of maturities. Fit the Nelson Siegel-Svensson model

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The table below presents the forward curve for a range of maturities. Fit the Nelson Siegel-Svensson model to this forward curve.

t (in years) 1/12 1/2 1.0 2.0 3.0 5.0 7.0 10.0 f(t) (in % p.a.) 1.39 3.02 3.77 3.94 4.10 4.23 4.46 4.58

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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The table below presents the forward curve for a range of maturities. Fit the Nelson Siegel-Svensson model

Question:

t (in years) 1/12 1/2 1.0 2.0 3.0 5.0 7.0 10.0 f(t) (in % p.a.) 1.39 3.02 3.77 3.94 4.10 4.23 4.46 4.58

Step by Step Answer:

Derivatives Principles And Practice

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