Modelled Years in Extended 2FBK Model
Document ID: 2007-16 (previously 2007/002)
Published on: 1st March 2007
Author: Stephen Carlin, Hui Ng
The construction of the extended 2FBK model means that it is not possible to derive analytical prices for ZCBs. Instead bond prices must be found numerically. This short note describes numerical procedures, specifically the choice of "Modelled Years", used in the ESG when using the extended 2FBK model. We also consider how these numerical procedures can affect outputs and validation.
