Chinese 50 year bond: how does it perform against extrapolated values?
Document ID: 2010-1794
Published on: 19th April 2010
Author: John Hibbert
Extrapolation can have a major impact on the market-consistent value of certain classes of liability and in countries where long-term bonds are unavailable. Issues of bonds at previously untraded maturities provide a test of Barrie & Hibbert's extrapolation methods.
