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Copy file name to clipboardExpand all lines: bisection_alpha/README.md
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This repository has an implementation for a simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm often used in insurance to interpolate/extrapolate rates or yields.
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The implementation is based on [Technical documentation of the Methodology to derive EIOPA's risk-free interest rate term structure](https://www.eiopa.europa.eu/sites/default/files/risk_free_interest_rate/12092019-technical_documentation.pdf) and [Wiki on Bisection method](https://en.wikipedia.org/wiki/Bisection_method)
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The implementation is based on [Technical documentation of the Methodology to derive EIOPA's risk-free interest rate term structure](https://www.eiopa.europa.eu/document/download/df541a50-a9e7-458b-86ae-6ad16c2d6a29_en?filename=16-09-2022%20Technical%20documentation) and [Wiki on Bisection method](https://en.wikipedia.org/wiki/Bisection_method)
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## Problem
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Before using the Smith & Wilson algorithm, the user needs to provide the convergence speed parameter α. This parameter needs to be calibrated primarily so that that the extrapolated result matches the desired long-term behaviour.
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