A framework for extrapolation of long-term interest rates

Technical papers

1. Introduction

Risk-free yield curves are the basic building blocks for the valuation of future financial claims and long-term risk management. In highly developed fixed income markets we may be able to observe bonds or interest rate swap contracts with maturities of up to 50 years. In less developed markets liquid bond quotations might be limited to only a few years: in some cases, e.g. Argentina, no more than a handful of traded bond prices. In either case, liabilities of long-term financial

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