Yield Curve Interpolation

Posted by Szu-Yu (Gary) Pai

Input:
1 month yield
3 month yield
6 month yield
1 year yield
2 year yield
3 year yield
5 year yield
7 year yield
10 year yield
20 year yield
30 year yield
The maturity for quateyear
Output:
The yield for the inputted maturity
The calculation is based on Cubic Spline Interpolation,and the imported data is from www.treasury.gov

Tagged: Calibration, Yield Curve Calculation, Term Structure of Interest Rates,Interst Rate Models

 •  Jan 1, 2013  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, calibration methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, calibration and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

pai@quantcalc.net


Copyright 2012 Szu-Yu Pai