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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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