Hagan, Patrick; West, Graeme - In: Applied Mathematical Finance 13 (2006) 2, pp. 89-129
This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for … issue of bootstrapping is reviewed and how the interpolation algorithm should be intimately connected to the bootstrap … (or indeed an inhouse developer) as a viable option for yield curve interpolation. As will be seen, many of these methods …