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Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure
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Document Date: 2013-10-03 14:34:21

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File Size: 948,17 KB

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City

Washington D.C. / /

Company

Economics Discussion Series / /

Country

United States / /

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Organization

U.S. Treasury / Federal Reserve Board / US Federal Reserve / Board of Governors / /

Person

Marcel A. Priebsch / /

Position

author / rs ds PtT rT / rt / shadow rate rt / shadowrate model / PtT / observed short rate rt / gov. The analysis / Forward / /

Technology

simulation / /

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