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Report from the Seventh Fixed Income Seminar, Part IV: Term Structure Estimation
Mar 1, 1988
Three previous Newsletter articles summarized sessions of our October, 1987, Fixed Income Seminar. One focused on Barra's Japanese Bond Model, one highlighted our improved methods of valuing call options, and one discussed securitization. This article continues the series with an examination of some of the questions associated with term structure estimation and discuss Barra's current research in this area.