Interpolation of Yield curves
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation
Abstract: In this thesis we survey several interpolation methods that are used to construct the yield curves. We also review the bootstrapping and show that the bootstrap is closely connected to the interpolation in the case of bootstrapping yield curve. The most effort is dedicated, in this thesis, on the monotone convex method and on investigation of the difficulties to get accurate yield curves.
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