Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method
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More about this item
KeywordsTerm structure of interest rates; yield curve; coupon stripping; curve interpolation;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-16 (All new papers)
- NEP-CBA-2011-09-16 (Central Banking)
- NEP-CMP-2011-09-16 (Computational Economics)
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