Published June 5, 2022
| Version v1
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Quadratic Average Enhanced Curve Bootstrapping Algorithm
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Description
Quadratic Average Enhanced Curve Bootstrapping Algorithm (QAECBA) is intended to replace the existing Enhanced Curve Bootstrapping Algorithm (ECBA) and algorithm. The new approach achieves the ”smoothness” of both spot and forward zero-curves, and produces the instantaneous forward rate curve directly.
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https://osf.io/np5bw/download
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qaecbaBootstrapping.pdf
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(117.7 kB)
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