A new estimation method is proposed to derive the implied forward rate curve from yield to maturity data for Japanese government coupon bonds. The algorism of this method still includes some approximations, but the estimation error is reduced sufficiently without too heavy a computational burden. We make use of third and fifth order spline functions to realize the smooth interpolation of discrete data and the conversion of yields to maturity into spot or forward rates.
A new estimation method is proposed to derive the implied forward rate curve from yield to maturity data for Japanese government coupon bonds. The algorism of this method still includes some approximations, but the estimation error is reduced sufficiently without too heavy a computational burden. We make use of third and fifth order spline functions to realize the smooth interpolation of discrete data and the conversion of yields to maturity into spot or forward rates.
A new estimation method is proposed to derive the implied forward rate curve from yield to maturity data for Japanese government coupon bonds. The algorism of this method still includes some approximations, but the estimation error is reduced sufficiently without too heavy a computational burden. We make use of third and fifth order spline functions to realize the smooth interpolation of discrete data and the conversion of yields to maturity into spot or forward rates.