Return to search

Interpolation of Yield curves

In this thesis we survey several interpolation methods that are used to construct the yield curves. We also review the bootstrapping and show that the bootstrap is closely connected to the interpolation in the case of bootstrapping yield curve. The most effort is dedicated, in this thesis, on the monotone convex method and on investigation of the difficulties to get accurate yield curves.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-48968
Date January 2020
CreatorsIebesh, Abdulhamid
PublisherMälardalens högskola, Akademin för utbildning, kultur och kommunikation
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

Page generated in 0.0019 seconds