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Yield curve modelling at the Bank of Canada / by David Bolder and David Stréliski.: FB3-1/84E

The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices. The secondary objective is to better understand the behaviour of a class of parametric yield curve models, specifically, the Nelson-Siegel and the Svensson methodologies.--Abstract

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Publication information
Department/Agency
  • Bank of Canada.
TitleYield curve modelling at the Bank of Canada / by David Bolder and David Stréliski.
Series title
  • Technical report 0713-7931 84
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[English]
Note(s)
  • "The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices. The secondary objective is to better understand the behaviour of a class of parametric yield curve models, specifically, the Nelson-Siegel and the Svensson methodologies."--Abstract.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 1999.
BindingSoftcover
Descriptionviii, 56p. : graphs, references, tables ; 28 cm.
ISBN0-662-27602-7
ISSN0713-7931
Catalogue number
  • FB3-1/84E
Subject terms
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