Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models

Autores
Kisbye, Noemí Patricia; Meier, Karem
Año de publicación
2017
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of these models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves. We show that the forward rate curve evolution has a linear or an exponential growth, depending on the particular short rate interest model. We applied the results to Argentinian short and forward rates obtained from the Lebac?s bills yields using the Hull and White short rate model, showing a good estimation of the observed forward rate curve for near dates when the initial forward curve is adjusted with a Nelson and Siegel one.
Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina
Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
NELSON SIEGEL CURVES
SHORT RATE INTEREST MODELS
CONSISTENCY
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/85886
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate ModelsKisbye, Noemí PatriciaMeier, KaremNELSON SIEGEL CURVESSHORT RATE INTEREST MODELSCONSISTENCYhttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of these models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves. We show that the forward rate curve evolution has a linear or an exponential growth, depending on the particular short rate interest model. We applied the results to Argentinian short and forward rates obtained from the Lebac?s bills yields using the Hull and White short rate model, showing a good estimation of the observed forward rate curve for near dates when the initial forward curve is adjusted with a Nelson and Siegel one.Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; ArgentinaFil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaScientific Research Publishing2017-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/85886Kisbye, Noemí Patricia; Meier, Karem; Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models; Scientific Research Publishing; Journal of Mathematical Finance; 7; 4; 11-2017; 919-9332162-24342162-2442CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://www.scirp.org/journal/doi.aspx?DOI=10.4236/jmf.2017.74050info:eu-repo/semantics/altIdentifier/doi/10.4236/jmf.2017.74050info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:47:51Zoai:ri.conicet.gov.ar:11336/85886instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:47:51.703CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
title Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
spellingShingle Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
Kisbye, Noemí Patricia
NELSON SIEGEL CURVES
SHORT RATE INTEREST MODELS
CONSISTENCY
title_short Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
title_full Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
title_fullStr Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
title_full_unstemmed Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
title_sort Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
dc.creator.none.fl_str_mv Kisbye, Noemí Patricia
Meier, Karem
author Kisbye, Noemí Patricia
author_facet Kisbye, Noemí Patricia
Meier, Karem
author_role author
author2 Meier, Karem
author2_role author
dc.subject.none.fl_str_mv NELSON SIEGEL CURVES
SHORT RATE INTEREST MODELS
CONSISTENCY
topic NELSON SIEGEL CURVES
SHORT RATE INTEREST MODELS
CONSISTENCY
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of these models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves. We show that the forward rate curve evolution has a linear or an exponential growth, depending on the particular short rate interest model. We applied the results to Argentinian short and forward rates obtained from the Lebac?s bills yields using the Hull and White short rate model, showing a good estimation of the observed forward rate curve for near dates when the initial forward curve is adjusted with a Nelson and Siegel one.
Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina
Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of these models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves. We show that the forward rate curve evolution has a linear or an exponential growth, depending on the particular short rate interest model. We applied the results to Argentinian short and forward rates obtained from the Lebac?s bills yields using the Hull and White short rate model, showing a good estimation of the observed forward rate curve for near dates when the initial forward curve is adjusted with a Nelson and Siegel one.
publishDate 2017
dc.date.none.fl_str_mv 2017-11
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/85886
Kisbye, Noemí Patricia; Meier, Karem; Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models; Scientific Research Publishing; Journal of Mathematical Finance; 7; 4; 11-2017; 919-933
2162-2434
2162-2442
CONICET Digital
CONICET
url http://hdl.handle.net/11336/85886
identifier_str_mv Kisbye, Noemí Patricia; Meier, Karem; Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models; Scientific Research Publishing; Journal of Mathematical Finance; 7; 4; 11-2017; 919-933
2162-2434
2162-2442
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.scirp.org/journal/doi.aspx?DOI=10.4236/jmf.2017.74050
info:eu-repo/semantics/altIdentifier/doi/10.4236/jmf.2017.74050
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Scientific Research Publishing
publisher.none.fl_str_mv Scientific Research Publishing
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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