00000nam##2200000za#4500 9.614989 CaOODSP 20211126112847 ta 150406|1999||||xxc||||| f|0| 0 eng|d 0-662-28327-9 1192-5434 CaOODSP eng n-cn--- FB3-2/99-19E Bank of Canada. Pricing interest rate derivatives in a non-parametric two-factor term-structure model / by John Knight, Fuchun Li and Mingwei Yuan. Ottawa - Ontario : Bank of Canada 1999. 46p. : graphs, references, tables ; 28 cm. Working paper 1192-5434 99-19 "The non-parametric two-factor model can be employed to analyze the effects of monetary policy actions on the term structure... The empirical term-structure effects of monetary policy actions (control over the overnight rate and its volatility) can be estimated through the non-parametric technique developed in this paper."--Page 2. The non-parametric two-factor model can be employed to analyze the effects of monetary policy actions on the term structure... The empirical term-structure effects of monetary policy actions (control over the overnight rate and its volatility) can be estimated through the non-parametric technique developed in this paper.--Page 2 Résumés en français Softcover 99-48 1999-12-03 Interest rates gcpds Models gcpds Yuan, Mingwei knight, John Li, Fuchun Pricing interest rate derivatives in a non-parametric two-factor term-structure model / (CaOODSP)9.571703 Working paper, 1192-5434 99-19 (CaOODSP)9.514622