A new method for interpolating yield curve data, with applications to the South African market
This paper presents a method for interpolating yield curve data in a manner that ensures positive and continuous forward curves. As shown by Hagan and West (2006), traditional interpolation methods suffer from problems: they posit unreasonable expectations, or are not necessarily arbitrage-free. The...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2013-11-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/388 |