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Wilmott | Serving The Quantitative Finance Community | Home
Methods for Constructing a Yield Curve: Wilmott Magazine Article. Patrick S. Hagan and Graeme West. In this paper we survey 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 we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself. Espen Haug (The Collector).
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