Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

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.

Was this topic helpful?