In this release of SPV we have phased out the analysis of the forward volatilities of the SWAP curve as the parameters have been very unstable lately. Moreover, we have also excluded the analysis of the holding period yields.
The theme of this release concerns the estimation of Danish Yield Curves with main focus on the selection of input data. The theme is divided into three chapters. In the first chapter we investigate the effects of using overnight index swaps (OIS) in the estimation of the swap based interest rate curve instead of deposits. In the second chapter alternative quote sources for the estimation of the government yield curve are investigated. And in the third chapter we try to locate the best time during a trade date to snap quotes for yield curve estimation. Based on the results from the surveys we will change our procedures when estimating swap and government yield curves.