Yield Curve Interpolation

Posted by Gary Pai

Input:
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
Output:
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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