Term Structure of Interest Rates
The formulas and methodology for term structure functions come
from:
[5] Fabozzi, Frank J., "The Structure of Interest Rates."
Ch. 6 in Fabozzi, Frank J. and T. Dessa Fabozzi, eds. The
Handbook of Fixed Income Securities. 4th ed. New York:
Irwin Professional Publishing, 1995, ISBN 0-7863-0001-9.
[6] McEnally, Richard W. and James V. Jordan, "The Term
Structure of Interest Rates." Ch. 37 in Fabozzi and Fabozzi,
ibid.
[7] Das, Satyajit, "Calculating Zero Coupon Rates." Swap
and Derivative Financing. Appendix to Ch. 8, pp. 219-225,
New York: Irwin Professional Publishing., 1994, ISBN 1-55738-542-4.
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