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Yield curves for gilt-edged stocks - an improved model
Quarterly Bulletin 1982 Q2
Published on
01 June 1982
Revisions have been made to the Bank's model of gilt-edged yields, used with one minor modification since 1973. The number of variable parameters has been reduced from eight to seven, and the model is now considerably more stable.
Certain features of the market-notably the way in which coupons and yields are related-have now been more appropriately modelled.
Yield curves for gilt-edged stocks - an improved model