A Framework for Estimating and Extrapolating the Term Structure of Interest Rates
Last updated 24th March 2010 - This Exposure Draft summarises the methods to be applied in yield curve construction work by Barrie & Hibbert from 30th September 2008.k.
Is there any more fundamental valuation challenge than placing a value on a known cash flow at some time in the future? Risk-free yield curves are the basic building blocks for the valuation of future financial claims and long-term risk management work. This Exposure Draft summarises the methods to be applied in yield curve construction work by Barrie & Hibbert from 30th September 2008.
To read the research report, click the download link below:
Exposure Draft