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1

Both authors are from the National University of Singapore, Centre for Financial

Engineering. Research support from the Institute of High Performance Computing

(IHPC) is gratefully acknowledged. Comments are welcome. All correspondences

should be addressed to Prof. Lim Kian Guan, Director, Center for Financial Engi-

neering, Kent Ridge Post Office P. O. Box 1130, Singapore 911105. E-mail: fbal-

imkg@nus.edu.sg.

Abstract

The yield and the forward rates are important to fixed income analysts. How-

ever, only a finite number of rates can be observed from the market at any

point in time. This paper provides a complete system of estimating the term

structure via the estimated forward rates. We derive the interesting result that

fourth-order and quadratic polynomial spline functions obtain given the max-

imum smoothness and the maximum flatness estimation of the forward rate

curve among all polynomial functional forms. We also compare our empirical

results with discrete models using difference method and explicit solutions with

matrix form. From the empirical results, our smoothness or flatness methods

perform better than the standard cubic spline methods that are popularly used.

1 Introduction

fixed income analysts. They are widely used to price interest rate derivatives.

Hull and White (1993) show that by allowing the drift of instantaneous spot

rate to be a function of time, single-factor term structure models such as Vasicek

(1977) and Cox, Ingersoll, and Ross (CIR, 1985) can be made to fit current yield

curve exactly. Heath, Jarrow and Morton (HJM, 1992) assume that the market

risk preference is incorporated in the existing term structure of interest rates.

Therefore, under the no-arbitrage condition, contingent claims can be priced

when the yield curve is fitted to the market data.

Our concern here is that only a few points of the yield curve can be ob-

served in the market at any one point in time. Some mathematical techniques

are necessary to estimate the whole yield curve from the observed finite data.

McCulloch (1975) uses the polynomial spline functions to fit the observed data.

As is well known, the use of polynomial function to fit the entire yield curve

may lead to unacceptable yield patterns. Vasicek and Fong (1982) use the expo-

nential spline for the discount function, and choose the cubic form as the lowest

odd order form from continuous derivatives. Delbaen and Lorimier (1992) in-

troduce the discrete approach to estimate the yield curve by minimizing the

difference between two adjacent forward rates. Frishing and Yamamula (1996)

use a similar approach on the coupon bond prices, and Adams and Deventer

(1994) employ a concept of maximum smoothness in the estimation.

In this paper, we introduce a complete system to estimate the term structure

of yield using the corresponding maximum smoothness and also the maximum

flatness forward curve. Both continuous and discrete models are developed.

The maximum smoothness criterion in the continuous approach is defined as

minimizing the total curvature of the curve. In the discrete model, sum of

the squared second order central difference is used as a measure of the total

1

curvature. For the maximum flatness criterion, the total slope of the curve is

minimized, and the sum of the squared forward difference is used as the measure

in the discrete model.

The potential problem is that all the models involve optimization of a large

number of variables. This may be computationally cumbersome. However, all

the optimization problems can transformed to quadratic forms. Then we can

obtain the explicit solutions by the Lagrange-multiplier method. This approach

allows for fast and tractable results.

In section 2, we derive the estimation under the maximum smoothness

method. In section 3, we derive the estimation under the maximum flatness

method. In section 4, we illustrate the estimation methods using data from the

US Treasury. Section 5 contains the conclusions.

2 Continuous Model

Let p(T ) be the price of a zero-coupon bond with T periods to go before matu-

rity. Thus p(0) = 1, and p(t) > 0 for all t > 0. Assume ∂ ln p(t)/∂t exists for

all t > 0. The corresponding yield and instantaneous forward rates are y(t) and

f (t) respectively. Then,

1

y(T ) = − ln P (T ) (1)

T

and !

Z T

p(T ) = exp − f (u)du (2)

0

Taking the natural logarithm on both sides of equation (??) and eliminating

p(T ) using equation (??), we obtain the relationship between the forward rates

and the yield

Z T

f (u)du = y(T )T (3)

0

2

Suppose that for the maturity date Ti (i = 1, ..., n), the corresponding yield-

to-maturity is known from the market as y(Ti ) . Now we want to estimate the

yields for other maturity dates and the corresponding instantaneous forward

rates.

A maximum smoothness forward curve is one that minimizes the total curvature

of the curve and which fits the observed data exactly. Assuming f (·) ∈ C 2 [0, Tn ],

The general criterion for the total curvature is the integral of the squared second-

order differential function

Z Tn

Z= f 002 (u)du. (4)

0

on [0, Tn ]. This expression is a common mathematical definition of smoothness.

From equation (??), the constraints can be written as

Z Ti

f (t)dt = y(Ti )Ti ≡ yi , i = 1, ..., n (5)

0

min Z

f ∈C 2 (0,Tn )

Z Ti

s.t. f (t)dt = yi , i = 1, ..., n

0

f (0) = r0 (6)

f 0 (0) = 0 (7)

Integrating, we obtain

Z T Z T

f (u)du = f (T )T − uf 0 (u)du (8)

0 0

and

Z T Z T Z T

0 2 0 0

uf (u)du = T f (T ) − uf (u)du − u2 f 00 (u)du

0 0 0

3

so !

Z T Z T

0 1 2 0 2 0

uf (u)du = T f (T ) − u f (u)du . (9)

0 2 0

Z T Z T

1 1

f (u)du = f (T )T − T 2 f 0 (T ) + u2 f 00 (u)du. (10)

0 2 2 0

Denoting

g(t) = f 00 (t) 0 ≤ t ≤ Tn ,

Z T Z T

0 0

f (T ) = g(u)du + f (0) = g(u)du (11)

0 0

and

Z T Z T Z t

0

f (T ) = f (u)du + r0 = g(v)dvdu + r0 (12)

0 0 0

1

Substituting (??) and (??) into (??), (??) becomes

Z Ti Z t !

1 2 Ti 1 Ti 2

Z Z

yi = g(v)dvdu + r0 Ti − Ti g(u)du + u g(u)du (13)

0 0 2 0 2 0

Z Tn

min g 2 (u)du

g(·)∈C[0,Tn ] 0

straint (??). The objective function becomes

Z Tn n

X Z Ti Z t

min Z[g, λ] = g 2 (u)du + λi Ti g(v)dvdu

g∈C[0,Tn ],λi 0 0 0

i=1

!

Z Ti Z Ti

1 1

− Ti2 g(u)du + u2 g(u)du + r0 Ti − yi

2 0 2 0

1 Here we involve an additional assumption that f 0 (0) = 0. We can also incorporate non-

zero f 0 (0), and the solution just become a bit more complicated.

4

We use the step function

1, t ≥ 0

It =

0, t < 0

Z Tn n Z u !

2

X 1 2 1 2

Z[g, λ] = g (u) + λi ITi −u Ti g(v)dv − Ti g(u) + u g(u) du

0 i=1 0 2 2

n

X

+ λi (r0 Ti − yi ) (14)

i=1

d

Z[g ∗ + hσ]

=0 (15)

dσ σ=0

for any continuous function h(·) defined on [o, Tn ], such that h(u) = g(u) −

g ∗ (u), where g ∗ (u) is optimal. From (??) we have

d ∗

Z[g + hσ]

dσ σ=0

Z Tn n Z u !

∗

X 1 2 2

= 2g (u)h(u) + λi ITi −u Ti h(v)dv + (u − Ti )h(u) du

0 i=1 0 2

Z Tn n

!

∗

X 1 2 2

= 2g (u) + λi ITi −u (u − Ti ) h(u)du

0 i=1

2

Z Tn X n

! Z

u

+ λi ITi −u Ti h(v)dv du = 0 (16)

0 i=1 0

n Z Tn Xn

X 1

2g ∗ (u) + λi ITi −u (u2 − Ti2 ) = − λi ITi −v Ti dv (17)

i=1

2 u i=1

n

1 X

g ∗ (u) = − λi (Ti − u)2 when Tk < u ≤ Tk+1 , k = 0, ..., n − 1

4

i=k+1

interval [Tk , Tk+1 ]. The maximum smoothness forward curve is a fourth-order

polynomial spline function and is second-order continuous differentiable. This

is summarized in the following proposition.

5

Proposition 1 When f (0) = r0 is known and f 0 (0) = 0, the function of the

maximum smoothness forward curve is a fourth-order polynomial spline and is

second-order continuously differentiable in the range (0, Tn ) .

Unlike Adams and Deventer (1994), proposition 1 shows that the cubic term

could not be omitted in the polynomial spline function.

2.3 Algorithm

formed to the quadratic form, and then obtain an explicit solution by Lagrange-

multiplier method. We set the forward rate function as

Then

Z Tk Z Tk 2

002

f (t)dt = 12ak t2 + 6bk t + 2ck dt

Tk−1 Tk−1

144 5 5 2

= ∆ a a + 36∆4k ak bk + 12∆3k b2k + 16∆3k ak ck + 12∆2k bk ck + 4∆1k c2k

5 k k k

= xTk hk xk

where

144 5

ak 5 ∆k 18∆4k 8∆3k 0

0

bk 18∆4 12∆3 6∆2k 0 0

k k

3

x=

,

ck hk = 8∆k

6∆2k 1

4∆k 0 0 .

dk 0 0 0 0 0

ek 0 0 0 0 0

l

, l = 1, ..., 5.

min xT hx

x

6

where

x1 h1 0

.. ..

x=

. ,

h=

.

xn 0 hn

k

X 1 1 1 1

∆5 ai + ∆4i bi + ∆3i ci + ∆2i di + ∆1i ei = y(Ti )Ti , k = 1, ..., n

i=1

5 i 4 3 2

(19)

k = 1, ..., n − 1 (21)

12(ak+1 −ak )Tk2 +6(bk+1 −bk )Tk +2(ck+1 −ck ) = 0, k = 1, ..., n−1 (22)

5. Boundary conditions:

f (0) = r0 : e1 = r0 (23)

f 0 (0) = 0 : d1 = 0 (24)

All constraints (??) - (??) are linear with respect to x. We can write the

constraints in matrix form Ax = B, where A is a 4n-1 by 5n matrix, and B is

7

a 4n-1 by 1 vector. Let λ = [λ1 , λ2 , ..., λn−1 ]T be the corresponding Lagrange

multiplier vector to the constraints. The object function becomes

x,λ

∂

Z(x, λ)x0 ,λ0 = 2hx0 + AT λ0 = 0

∂x

∂

Z(x, λ)x0 ,λ0 = Ax0 − B = 0

∂λ

or

2h AT x0 0

= .

A 0 λ0 B

Then −1

2h AT 0

x0 = I5n×5n 05n×(4n−1)

A 0 B

The explicit solution of the parameter vector is obtained.

The maximum smoothness forward curve can also be estimated under the dis-

crete framework. The time-to-maturity is divided into intervals with equal

length h, and the forward rate of the ith interval is denoted fi . We use the

second-order central difference as the measure of the curvature

f 00 (t) ≈ d2 [ft̄ ] ≡

h2

Z T T̄

X

f (t)dt = fi h

0 i=1

8

optimization problem

X

min Z = T̄n (d2 [fi ])2 (25)

fi

i=1

T̄k

X

s.t. fi h = yk Tk k = 1, ..., n (26)

i=1

This problem has the properties that the object function is a convex function

with respect to those forward rates, and the constraint set is a convex set. So

the optimization has a unique global minimum.

In this discrete model, we note that the maximum smoothness forward curve

is estimated without specifying of the underlying function form, so using this

model we should get the maximum smoothness forward curve among all function

forms.

The optimization problem (??) and (??) can also be transformed to quadratic

form

min f T Hf

f

s.t. Af = B (27)

where

1 −2 1

−2 5 −4 1 0

1 −4 6 −4 1

1 −4 6 4 1

H=

.. .. .. .. ..

. . . . .

1 −4 6 −4 1

0 1 −4 5 −2

1 2 1

in the last section.

9

3 Maximum Flatness Forward Curve

A maximum flatness forward curve is one such that the total slope of the curve

is minimized and the corresponding yield curve fits the observed points exactly.

Assuming f (·) ∈ C 1 [0, Tn ] the general criterion for the total slope is the integral

of the squared first-order differential equation

Z Tn

Z= f 02 (u)du

0

ness forward curve should be a second-order polynomial spline, which is contin-

uously differentiable in the range (0, Tn ).

Delbaen and Lorimier (1992) and Frishing and Yamamura (1996) first discuss

the use of the discrete case for estimating maximum flatness forward curve. We

use the first-order forward difference

fi+1 − fi

d1 [fi ] =

h

T̄n

X

min Z = (d1 [fi ])2

fi

i=1

The constraints are that the observed points of yields should be fitted, which

is the same as (??).

Both the continuous and discrete approach can be transformed to the qua-

dratic form. Thus the explicit solution for the parameters in the continuous

case and forward rates in the discrete case can be obtained, using the Lagrange

multiplier method.

10

4 Illustration

rates from January 1996 to December 1998 with maturity of three, six month,

one, two, three, five, seven, and ten years that are obtained from the Federal

Reserve Bank of Chicago. The forward rates and yield surface estimated by the

discrete maximum smoothness method are shown in Figures 1 and 2.

To compare the different approaches, we use the interest rates on Jan 2n d 1997,

which is a representative type of term structure. The yields with different

maturities are listed in Table 1.

The term structure of forward rates and yields are estimated using both the

maximum smoothness and the maximum flatness method. Since we specify the

functional form of the forward rate to be fourth-order or second-order polyno-

mial spline functions in the continuous maximum smoothness or the flatness

methods, while there is no need of such specification in the discrete model, it

will be interesting to compare the estimations of the continuous and the discrete

methods. Figure 3 and 4 show the comparison.

It is obvious that the forward rate curves by continuous and discrete ap-

proaches are almost the same in both maximum smoothness and maximum

flatness methods. The percentage differences between the forward rates of con-

tinuous and discrete maximum smoothness method are within 2%, and those of

the maximum flatness method are within 1%.

11

4.2 Comparison between Cubic Spline and Max. Smooth-

ness Method

We compare our maximum smoothness continuous method with the cubic spline

method.

Figure 5 shows the forward rate surface implied in the term structure of the

yields, which is estimated by the cubic spline method. The surface appears rocky

because of the dramatic changes in individual forward curves over time. Figure

6 is the comparison of the yields and forward rates between the cubic-spline

and maximum smoothness methods. The forward rate curve of the maximum

smoothness method is much smoother and more reasonable than that of the

cubic spline.

5 Conclusions

This paper introduces methods to estimate the forward rate curve and the corre-

sponding yield curve with maximum smoothness and maximum flatness respec-

tively. We define the integral of the squared second-order derivative of the curve

function as a measure of smoothness, and the integral of the squared first-order

derivative as a measure of flatness. We also use the sum of the squared second

or first order difference of the forward rates as the measure of smoothness or

flatness in the discrete approach.

We prove that the maximum smoothness forward curve is a polynomial

spline function. We also prove that the maximum flatness forward curve is

a second-order polynomial spline function. Furthermore, explicit solutions for

the smoothness and flatness approaches, and the continuous and discrete ap-

proaches are given. The transformation to quadratic form allows for tractable

solutions.

12

Empirical illustration shows that the forward rate curves by continuous and

discrete methods are almost similar, either using maximum smoothness or max-

imum flatness criterion. We also see that our model performs better than the

cubic spline method.

13

Table 1: Yields of different maturities on Jan. 2nd , 1997

3 months 5.17

6 months 5.31

1 year 5.61

2 years 6.01

3 years 6.16

5 years 6.33

7 years 6.47

10 years 6.58

14

Figure 1: Forward Rate Surface by Discrete Maximum Smoothness

Method

We use the monthly US Treasury rates from January of 1996 to December of

1998 with maturity of three, six month, one, two, three, five, seven, and ten

years.

15

Figure 2: The Corresponding Yield Surface by discrete Maximum

Smoothness Method

We use the monthly US Treasury rates from January of 1996 to December of

1998 with maturity of three, six month, one, two, three, five, seven, and ten

years.

16

Figure 3: Comparison of Forward Rate Curves between Continuous

and Discrete Maximum Smoothness Method

The yields with different maturities on Jan. 2nd 1997 are listed in table 1.

17

Figure 4: Comparison of Forward curves between Continuous and

Discrete Maximum Flatness Method

The yields with different maturities on Jan. 2nd 1997 are listed in table 1.

18

Figure 5: Forward Rate Surface by Cubic Spline Method

We use the monthly US Treasury rates from January of 1996 to December of

1998 with maturity of three, six month, one, two, three, five, seven, and ten

years.

19

Figure 6: Comparison of Forward Curves between Cubic Spline and

Maximum Smoothness Method

The yields with different maturities on Jan. 2nd 1997 are listed in table 1.

20

Appendix 1 Proof of Lemma 1

Z b Z b Z u

A(u)h(u)du + B(u) h(v)dv du = 0 (A-1)

a a a

Z b

A(u) = − B(v)dv ∀u ∈ [a, b] (A-2)

a

Z b Z b Z u

A(u)h(u)du + B(u)h(v)dvdu

a a a

!

Z b Z b Z b

= A(v)h(v)dv + h(v) B(u)du dv

a a v

!

Z b Z b

= h(v) A(v) + B(u)du dv = 0

a v

for any continuous function h(·) defined on [a, b]. Noticing that

Z b

A(v) + B(u)du

v

is a continuous function on [a, b], therefore (??) obtains if and only if (??) holds.

Q.E.D.

21

Appendix 2 Proof of Proposition 2

that satisfies the optimization problem

Z Tn

min

1

f 02 (u)du (A-3)

f ∈C (0,Tn ) 0

Z Ti

s.t. f (s)ds = yi i = 1, ..., n (A-4)

0

Integrating, we obtain

Z T Z T

f (u)du = f (T )T − uf 0 (u)du. (A-5)

0 0

Z T

f (T ) = g(u)du + r0 (A-6)

0

Substituting (??) into (??) concerning the n known point, the constraints be-

come !

Z Ti Z Ti

yi = Ti g(u)du + r0 − ug(u)du i = 1, ..., n (A-7)

0 0

Z Tk

min g 2 (u)du

g(·)∈C[0,Tn ] 0

s.t. (??).

(??), the object function is

min Z

g∈C[0,Tn ],λ

n

! !

Z Tn X Z Ti Z Ti

2

= g (u)du + λi Ti g(u)du + r0 − ug(u)du − yi

0 i=1 0 0

n

! n

Z Tn X X

2

= g (u) + λi (Ti − u)ITi −u g(u) du + λi (r0 Ti − yi ) (A-8)

0 i=1 i=1

22

If [g ∗ , λ] is the solution of the optimization problem (??), then

∂

Z[g ∗ + σh]

=0

∂σ σ=0

holds for any continuous function h(·) defined on [0, Tn ] such that h(u) = g(u) −

g ∗ (u) where g ∗ (u) is optimal. We have

Z Tn n

!

∂ X

Z[g ∗ + σh] ∗

= 2g (u) + λi (Ti − u)ITi −u h(u)du

∂σ σ=0 0 i=1

n

X

2g ∗ (u) + λi (Ti − u)ITi −u = 0.

i=1

Thus

n

1 X

g(u) = − λi (Ti − u) for Tk < u ≤ Tk+1

2

i=k+1

Q.E.D.

23

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