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Interpolating yield curve data in a manner that ensures positive and continuous forward curves
Du Preez, Paul F.
;
Mare, Eben
(
Department of Economics, University of Pretoria
,
2013
)
An investigation into popular methods for constructing yield curves
Unknown author
(
University of Pretoria
,
2012-07-03
)
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Author
Du Preez, Paul F. (1)
Mare, Eben (1)
Subject
Yield curves (2)
Monotone preserving cubic Hermite interpolation (1)
Positive forward rate curves (1)
South African swap curve (1)
UCTD (1)
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2013 (1)
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