Barrie & Hibbert

Knowledge Base » A Comparison of Extrapolation Performance

A Comparison of Extrapolation Performance

Document ID: 2009-1501
Published on: 7th July 2009
Author: John Hibbert & Ruosha Li

The analysis shows a comparison of estimated bond prices extrapolated from year 20 using a flat forward curve and the B+H method compared to ‘true’ Fed bond prices.

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