EIOPA · 2106
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - Extrapolation
- Article
- N/A
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2020-01-27
- Answered
- 2021-08-02
Question
I am looking for explanation, consider: Technical documentation of the methodology to derive EIOPA's risk-free interest rate term structures / point 149, page 44, part of the formula for b. It's (Q'HQ)^(-1).In the provided Smith-Wilson risk-free interest rate extrapolation tool, the VBA code stays: b = .MInverse(.MMult(.MMult(Q, h), .Transpose(Q))).To my understanding this would yeld: (QHQ')^(-1), which is different from (Q'HQ)^(-1) in case of non-diagonal marrix Q.
Answer
Question has been answered on a direct bilateral basis as the question is specific to questioner.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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