Interpolation Methods for Curve Construction

@article{Hagan2006InterpolationMF,
  title={Interpolation Methods for Curve Construction},
  author={P. S. Hagan and Graeme Philip West},
  journal={Applied Mathematical Finance},
  year={2006},
  volume={13},
  pages={129 - 89}
}
  • P. Hagan, G. West
  • Published 1 June 2006
  • Mathematics
  • Applied Mathematical Finance
This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves the issue of bootstrapping is reviewed and how the interpolation algorithm should be intimately connected to the bootstrap itself is discussed. The criterion for inclusion in this survey is that the method has been implemented by a software vendor (or indeed an… 
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