A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples

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A Practitioner’s Guide to Discrete-Time Yield CurveModelling
	Contents
	1 Empirical Analysis of Term Structure Data
		1.1 Introduction
		1.2 Exploring Yield Curve Data
		1.3 A First Look at Principal Component Models
		1.4 Adding Time-Series Dynamics to the Factors
	2 P and Q Measures
		2.1 Introduction
		2.2 Switching between Measures
		2.3 A Simplified Empirical Example
		2.4 A Generic Discrete-Time One-Factor Model
			2.4.1 Estimating the Short-Rate Model
		2.5 Summary
	3 The Basic Yield Curve Modelling Set-Up
		3.1 Introduction
		3.2 The Factor Structure of Yields
		3.3 Rotating the Yield Curve Factors
			3.3.1 A Short-Rate Based Model
			3.3.2 Using Yields as Factors
		3.4 The Building Blocks That Shape the Yield Curve
		3.5 Modelling Yields at the Lower Bound
		3.6 Summary
	4 Modelling Yields under the Q Measure
		4.1 Introduction
		4.2 A Discrete-Time Four-Factor SRB Model
			4.2.1 The Relationship between the SRB Model and the Joslin, Singletonand Zhu (2011) Framework
			4.2.2 The Relationship between the Four-Factor SRB Model and theSvensson-Söderlind Model
	5 Model Implementation
		5.1 Introduction
		5.2 A Brief Note on Model Implementation
		5.3 Implementing the Joslin, Singleton and Zhu (2011) Model
		5.4 Implementing the Arbitrage-Free SRB Model
		5.5 Constructing a Model with the Short Rate and the Ten-YearTerm Premium as Underlying Factors
	6 Scenario Generation
		6.1 Introduction
			6.1.1 The Horse Race
			6.1.2 Conditional Projections
			6.1.3 Fix-Point Scenarios
	Appendix: On the Included MATLAB Codes and Scripts
	References
	Acknowledgements