Tag Archives: matlab

Latent factors of the term structure of yield curve

This post is a brief summary of how I found myself trying to learn how to model the term structure of the yield curve and the struggles that I faced.

If google brought you to this page in the late moments of your despair and agonising confusion with this model, I recommend you scroll straight to the bottom. The last six paragraphs might shed some light on the problems you are facing.

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