IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2005.13890.html
   My bibliography  Save this paper

Equivalence between forward rate interpolations and discount factor interpolations for the yield curve construction

Author

Listed:
  • Jherek Healy

Abstract

The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the trend. We show here that some popular interpolation methods on the forward rates correspond exactly to classical interpolation methods on discount factors. This paper also aims at clarifying the differences between interpolations in terms of discount factors, instantaneous forward rates, discrete forward rates, and constant period forward rates.

Suggested Citation

  • Jherek Healy, 2020. "Equivalence between forward rate interpolations and discount factor interpolations for the yield curve construction," Papers 2005.13890, arXiv.org.
    • Handle: RePEc:arx:papers:2005.13890
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2005.13890
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2005.13890. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.