Ein zweistufiges Verfahren zur Schätzung der Zinskurve

As the term structure of interest rates cannot be directly observed in most segments of the capital market, it has to be estimated from bond prices. It is not possible to estimate stable and plausible term structures for all maturities with the usual approaches. In this paper a two-stage estimation procedure is presented which resolves the problems inherent in the usual approaches. Discount factors up to ten years are approximated with a spline function; for longer maturities a laguerre approximation is implemented. Using Swiss government bond data, plausible term structures for maturities up to 20 years are estimated.