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Last updated:
April 21, 2000

Design & Content:
Csaba Horvath
Yield curve analysis | Yield Curve Calculator application
Yield curve - sample
A snapshot of the yield curve of Hungarian government bonds on 08-May-1998

Method used: Svensson (extended Nelson-Siegel), fitted via discount function, errors minimised in prices.
Data used: quotations of primary dealers via REUTERS Budapest (page HUBEST1..4).
 
Day of Quotation
08-May-98
maturity (years)
Discount Factor
prompt zero coupon yield
0.25
0.9579
18.77%
Estimated paremeters
0.5
0.9198
18.19%
beta0
-42.1247
0.75
0.8848
17.74%
beta1
42.3030
1
0.8518
17.40%
beta2
64.1687
1.25
0.8205
17.15%
beta3
-9.9137
1.5
0.7904
16.97%
tau1
16.0574
1.75
0.7614
16.86%
tau2
6.9940
2
0.7333
16.78%
2.25
0.7061
16.73%
2.5
0.6799
16.69%
2.75
0.6549
16.64%
3
0.6312
16.58%
3.25
0.6090
16.49%
3.5
0.5885
16.36%
3.75
0.5699
16.17%
4
0.5535
15.93%
4.25
0.5395
15.63%
4.5
0.5281
15.24%
4.75
0.5197
14.77%
5
0.5145
14.21%

Yield curve analysis | Yield Curve Calculator application

 

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