Cremers, Heinz; Schwarz, Willi - Frankfurt School of Finance & Management - 1996
This paper deals with the problem of interpolation of discount factors betweentime buckets. The problem occurs when … inorder to identify arbitrage-free robust interpolation methods. Methods closelyexamined include linear, exponential and … weighted exponential interpolation.Weighted exponential interpolation, a method still preferred by some banks andalso offered …