mathworks/term-premium-modelling

A MATLAB implementation of the Adrian-Crump-Moench (ACM) term premium model described in "Pricing the Term Structure with Linear Regressions", Federal Reserve Bank of New York Staff Reports, Staff Report No. 340, April 2013.

语言：MATLAB · GitHub 星标：6 · Fork：1

话题：market-data · market-risk · matlab · matlab-quant-finance · quantitative-finance

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