Interpolation methods for curve construction

Applied Mathematical Finance

Volumn 13, Issue 2, 2006, Pages 89-129

  Hagan, Patrick S ^a   West, Graeme ^b  

^a Bloomberg LP   (United States)

^b UNIVERSITY OF THE WITWATERSRAND   (South Africa)

Author keywords

Bootstrap; Interpolation; Yield curve

Indexed keywords

EID: 33845197686     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860500396032     Document Type: Article

References (20)

1. Adams, K. (2001) Smooth interpolation of zero curves, Algo Research Quarterly, 4(1/2), pp. 11-22.
2. Adams, K. J. and van Deventer, D. R. (1994) Fitting yield curves and forward rate curves with maximum smoothness, Journal of Fixed Income, June 4(1), pp. 52-62.
3. Burden, R. L. and Faires, J. D. (1997) Numerical Analysis, 6th edn (Brooks Cole).
4. Cox, J. C. et al. (1985) A theory of the term structure of interest rates, Econometrica, 53, pp. 385-407.
5. de Boor, C. (1978, 2001) A Practical Guide to Splines: Revised Edition, Vol. 27 of Applied Mathematical Sciences (New York: Springer-Verlag).
6. Fritsch, F. and Butland, J. (1980) An improved monotone piecewise cubic interpolation algorithm, Lawrence Livermore National Laboratory Preprint UCRL.
7. Heath, D. et al. (1990) Bond pricing and the term structure of interest rates: a discrete time approximation, Journal of Financial and Quantitative Analysis, 25, pp. 419-440.
8. Hull, J. (2002) Options, Futures, and Other Derivatives, 5th edn (Prentice Hall).
9. Hull, J. and White, A. (1990) Pricing interest rate derivative securities, Review of Financial Studies, 3.
10. Hyman, J. M. (1983) Accurate monotonicity preserving cubic interpolation, SIAM Journal on Scientific and Statistical Computing, 4(4), pp. 645-654.
11. Lim, K. and Xiao, Q. (2002) Computing maximum smoothness forward rate curves, Statistics and Computing, 12, pp. 275-279.
12. Lin, B.-H. (2002) Fitting term structure of interest rates using B-Splines: the case of Taiwanese government bonds, Applied Financial Economics, 12(1), pp. 57-75.
13. McCulloch, J. H. and Kochin, L. A. (2000) The inflation premium implicit in the US real and nominal term structures of interest rates, Technical Report 12, Ohio State University Economics Department. *http://www.econ.ohio- state.edu/jhm/jhm.html
14. Press, W. H. et al. (1992) Numerical Recipes in C: the Art of Scientific Computing, 2nd edn (Cambridge University Press).
15. Quant Financial Research (2003) The BEASSA zero coupon yield curves: technical specifications, Technical report, Bond Exchange of South Africa. *http://www.bondex.co.za/pricing/ BEASSA_Zero_Curves_Tech_Specs_240504.pdf
16. Ron, U. (2000) A practical guide to swap curve construction. Technical Report 17, Bank of Canada. *http://www.bankofcanada.ca/en/res/wp00-17.htm
17. The MathWorks (2004) Matlab Version 7, The MathWorks, Inc.
18. van Deventer, D. R. and Inai, K. (1997) Financial Risk Analytics - A Term Structure Model Approach for Banking (Irwin: Insurance and Investment Managemen).
19. Vasicek, O. A. (1977) An equilibrium characterisation of the term structure, Journal of Financial Economics, 15.
20. Zangari, P. (1997) An investigation into term structure estimation methods for RiskMetrics, RiskMetrics Monitor, Third Quarter, pp. 3-48.