Market-based interest rates: Deterministic volatility case

Abstract

Central banks issue often many kinds of bonds to guide their benchmark interest rates. Their market data are thought of to reflect current state of the countries financial system. Then at least how much data is needed? Based on the framework of HJM model, We prove that the amount of the data needed is related to the form of the volatility function of forward rates, and then the initial forward rate curve is not essential. © Springer-Verlag Berlin Heidelberg 2003.