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
Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
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.
http://www.scirp.org/journal/doi.aspx?DOI=10.4236/jmf.2017.74050
info:eu-repo/semantics/publishedVersion
Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
Matemática Aplicada
Materia
Nelson-Siegel curves
Short rate interest models
Consistency
Nivel de accesibilidad
acceso abierto
Condiciones de uso
Repositorio
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/553085
Acceder
id RDUUNC_43b58094c45fb2faac6f4400a30be80b
oai_identifier_str oai:rdu.unc.edu.ar:11086/553085
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
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 modelsConsistencyFil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.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.http://www.scirp.org/journal/doi.aspx?DOI=10.4236/jmf.2017.74050info:eu-repo/semantics/publishedVersionFil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.Matemática Aplicadahttps://orcid.org/0000-0003-4369-71032017info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfKisbye, P. y Meier, K. (2017). Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models. Journal of Mathematical Finance, 7, 919-933. https://doi.org/10.4236/jmf.2017.740502162-2434http://hdl.handle.net/11086/5530852162-2442https://doi.org/10.4236/jmf.2017.74050enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-04T12:34:50Zoai:rdu.unc.edu.ar:11086/553085Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-04 12:34:50.286Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse
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.contributor.none.fl_str_mv https://orcid.org/0000-0003-4369-7103
dc.subject.none.fl_str_mv Nelson-Siegel curves
Short rate interest models
Consistency
topic Nelson-Siegel curves
Short rate interest models
Consistency
dc.description.none.fl_txt_mv Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
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.
http://www.scirp.org/journal/doi.aspx?DOI=10.4236/jmf.2017.74050
info:eu-repo/semantics/publishedVersion
Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
Fil: Meier, Karem. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
Matemática Aplicada
description Fil: Kisbye, Noemí Patricia. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía, Física y Computación; Argentina.
publishDate 2017
dc.date.none.fl_str_mv 2017
dc.type.none.fl_str_mv info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/article
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
status_str publishedVersion
format article
dc.identifier.none.fl_str_mv Kisbye, P. y Meier, K. (2017). Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models. Journal of Mathematical Finance, 7, 919-933. https://doi.org/10.4236/jmf.2017.74050
2162-2434
http://hdl.handle.net/11086/553085
2162-2442
https://doi.org/10.4236/jmf.2017.74050
identifier_str_mv Kisbye, P. y Meier, K. (2017). Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models. Journal of Mathematical Finance, 7, 919-933. https://doi.org/10.4236/jmf.2017.74050
2162-2434
2162-2442
url http://hdl.handle.net/11086/553085
https://doi.org/10.4236/jmf.2017.74050
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositorio Digital Universitario (UNC)
instname:Universidad Nacional de Córdoba
instacron:UNC
reponame_str Repositorio Digital Universitario (UNC)
collection Repositorio Digital Universitario (UNC)
instname_str Universidad Nacional de Córdoba
instacron_str UNC
institution UNC
repository.name.fl_str_mv Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdoba
repository.mail.fl_str_mv oca.unc@gmail.com
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score 13.13397

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