Monotonicity preserving regression techniques for interest rate term structure estimation: A note

Alternative methodologies are compared for measuring the term structure of interest rates via monotone approximations to the discount function. Some empirical comparisons using coupon bond data show that a simple linear methodology based on rational tension spline parametrizations turns out to yield the most efficient compromise between the conflicting goals of goodness of fit and smoothuess of the interpolaut Work supported by M.U.R.S.T. funds.