In this paper we will review the monotone convex method and highlight why this method has a very high pedigree in terms of the construction quality crite- ria ...

11 февр. 2015 г. · In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for con-struction of curves ...

This paper suggests an improvement on monotone preserving r(t)t interpolation method which ensures that the knot points of the curve are differentiable.

This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves.

26 сент. 2023 г. · The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline ...

The monotone convex (MC) method for yield curve construction is a more theoretically robust technique. The MC method begins with secondary market prices ...

ABSTRACT. This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward ...

We designed an algorithmic method of constructing a yield curve in a market with low and variable liquidity. We chose Nelson-Seigel as a curve.

4 дек. 2022 г. · In this article, we explain the role that the discount function and forward rates have in the creation of a yield curve and compare different methodologies to ...

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 ...