In the Nelson-Siegel Framework, Which of the Following Statements Is $A ( t ) = a + b e ^ { - t / d } + c ( t / d ) e ^ { - t / d }$

question 11

Multiple Choice

In the Nelson-Siegel framework, which of the following statements is valid? Let the notation used to describe the fitting function be the following: $A ( t ) = a + b e ^ { - t / d } + c ( t / d ) e ^ { - t / d }$

• A) \(\alpha\) determines the slope.
• B) \(b\) determines the location of the hump.
• C) \(C\) determines the hump shape.
• D) \(d\) determines the long-term rate.

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Definitions:

LCM Approach

The Lower of Cost or Market method, an accounting principle requiring inventory to be recorded at either its historical cost or market value, whichever is lower, to reflect potential losses.

Market Value

An estimation of the price at which an asset or company could be bought or sold in a current market.

IFRS

International Financial Reporting Standards represent worldwide accounting norms that facilitate the creation of financial statements.

GAAP

Generally Accepted Accounting Principles, a set of rules and standards used for financial reporting and accounting.