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Home > Risk Management > Securities > ZCYC
 

 

 

                                                CCIL N-S ZCYC Parameters 18 Nov 2008
ß0 ß1 ß2 tau
8.5743 -1.6742 -2.0399 2.7237
Error Statistics & Valuation Sheet N-S Methodology


 


 

Experimental Svensson's ZCYC Parameters 18 Nov 2008

ß0 ß1 ß2 ß3 tau1 tau2
8.8677 -1.9883 -0.5278 6.4893 -0.5338 1.4643
Error Statistics & Valuation Sheet N-S-S Methodology

          
      

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