Interest rates mapping

Details Interest rates mapping Interest rates mapping

2007-09-27

arxiv.org/abs/0709.4361v1

Economy

Quantitative Finance

Statistical Finance

8 pages, 8 figures. Presented at Applications of Physics in Financial Analysis conference (APFA6), Lisbon, Portugal, 2006

Scientific paper

10.1016/j.physa.2008.02.069

The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Geostatistical models and machine learning algorithms (multilayer perceptron and Support Vector Machines) were applied to produce interest rate maps. IR maps can be used for the visualisation and patterns perception purposes, to develop and to explore economical hypotheses, to produce dynamic asses-liability simulations and for the financial risk assessments. The feasibility of an application of interest rates mapping approach for the IRC forecasting is considered as well.

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