Yield Curve Interpolation

Posted by Gary Pai

1 month yield
3 month yield
6 month yield
1 year yield
2 year yield
3 year yield
5 year yield
7 year yield
10 year yield
20 year yield
30 year yield
The maturity for quateyear
The yield for the inputted maturity
The calculation is based on Cubic Spline Interpolation,and the imported data is from www.treasury.gov

Tagged: Calibration, Yield Curve Calculation, Term Structure of Interest Rates,Interst Rate Models

 •  Jan 1, 2013  • 

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