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RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
Equation
P
=
∑
i
S
i
k
exp
(
−
y
i
×
i
)
+
∑
i
S
i
*
exp
(
−
r
i
−
Δ
*
×
(
i
−
Δ
)
)
MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamiuaiabg2da9maaqafabaGaam4uamaaDaaaleaacaWGPbaabaGaam4AaaaakiaabwgacaqG4bGaaeiCamaabmaabaGaeyOeI0IaamyEamaaBaaaleaacaWGPbaabeaakiabgEna0kaadMgaaiaawIcacaGLPaaacqGHRaWkdaaeqbqaaiaadofadaqhaaWcbaGaamyAaaqaaiaacQcaaaGccaqGLbGaaeiEaiaabchadaqadaqaaiabgkHiTiaadkhadaqhaaWcbaGaamyAaiabgkHiTiaabs5aaeaacaGGQaaaaOGaey41aq7aaeWaaeaacaWGPbGaeyOeI0IaaeiLdaGaayjkaiaawMcaaaGaayjkaiaawMcaaaWcbaGaamyAaaqab0GaeyyeIuoaaSqaaiaadMgaaeqaniabggHiLdaaaa@5F90@