Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method

We present a simple and fast iterative, linear algorithm for simultaneously stripping the coupon payments from and smoothing the yield curve of the term structure of interest rates. The method minimizes pricing errors, constrains initial and terminal conditions of the curves and produces maximally smooth forward rate curves.

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Year of publication:	2011-08
Authors:	Beaumont, Paul ; Jerassy-Etzion, Yaniv
Institutions:	Department of Economics, Florida State University
Subject:	Term structure of interest rates \| yield curve \| coupon stripping \| curve interpolation

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number wp2011_08_03 25 pages
Classification:	G12 - Asset Pricing ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009283844