QuantCalc the calculator for all quants

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 quate		year
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  •