PART IIIFitting the Yield Curve

In Part III we discuss issues around fitting the yield curve. This looks at the main methods used to fit the term structure into as smooth a curve as possible, using market rates such as bond yields. We describe the techniques, which include cubic splines and parametric interpolation techniques, and provide background information on regression splines in the Appendix.

Get Analysing and Interpreting the Yield Curve, 2nd Edition now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.