Worked Examples for Maximum Smoothness Yield Curve Modeling

Summary

The document asks for accessible examples of maximum smoothness methods for fitting yield curves and forward rate curves. It names two papers covering the framework’s theory, including work on fitting curves and on maintaining positive forward rates, but the questioner finds them difficult to reproduce. The response points readers to worked examples in a financial risk management textbook, with separate chapters suggested for yield curves and credit spreads.

The exchange offers a practical lead for learning and implementation rather than explaining the mathematics or presenting a new model. It includes no formulas, empirical comparisons, or details about the examples’ assumptions, data, or reproducibility. Readers would need to consult the cited book to evaluate whether its treatments are sufficiently clear for their own modeling needs.

Key ideas

• Maximum smoothness methods can be used to fit yield and forward rate curves.
• The cited research papers explain theory but may be challenging to reproduce.
• A financial risk management textbook is recommended for worked yield curve examples.
• A separate chapter is suggested for examples involving credit spreads.

Tags

# "Friendly" papers about maximum smoothness yield curve modelling


# "Friendly" papers about maximum smoothness yield curve modelling












I'm currently looking to implement some version of the yield curve modeling techniques in the maximum smoothness framework. The papers I have found so far explains the theory pretty well, but I find them somewhat hard to replicate. Does anyone here know any easy-to-replicate papers on the topic? The ones I have read so far are:

- Fitting yield curves and forward rate curves with maximum smoothness - Adams, Van Deventer, 1994

- Positive forward rates in the maximum smoothness framework - Manzano, Blomvall, 2004

Thanks in advance for any input :)

## Answer by Donald R. van Deventer (score 2, accepted)

https://quant.stackexchange.com/a/9570

Suggest the worked examples in Chapter 5 (and for credit spreads, Chapter 17) in van Deventer, Imai and Mesler, Advanced Financial Risk Management, 2nd edition, 2013, John Wiley & Sons, Singapore. Good luck.

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