| Article ID: | iaor1996531 |
| Country: | Belgium |
| Volume: | 34 |
| Start Page Number: | 3 |
| End Page Number: | 18 |
| Publication Date: | Dec 1994 |
| Journal: | Belgian Journal of Operations Research, Statistics and Computer Science |
| Authors: | Lorimier S. |
| Keywords: | statistics: inference |
A method is presented to estimate the forward rate curve in a continuous framework by means of zero-coupon bond prices. It is proved that the unique solution is a polynomial spline with as knots the maturities of the bonds. Furthermore it is shown that the curve is smooth and cannot drift off towards the end. Finally some examples are presented using interbank rates.