Türkiye devlet tahvili getilerinin vade yapısındaki vade primi hesaplanması

In this thesis, the Turkish Treasury yield curve is estimated by the Nelson-Siegel- Svensson method between January 2010 and December 2016 in daily frequency. Interest rates taken from estimated yield curves can be used as benchmark rates to determine the present value of any future cash flow. The main goal of this study is to measure expected future of interest rates and the term premium. After the yield curves are estimated, a multifactor no-arbitrage affine term structure model is used to decompose the yield curve to its term premium and future expected interest rate components.