Abstract
In this chapter, first we introduce some commonly used curve interpolation methods for interest rate curves. Then, we present a positivity-preserving piecewise rational cubic interpolation function. It is constructed to ensure positive values by adjusting the shape-control parameters. When it is applied to the interest rate curve construction, this interpolation algorithm ensures positive values. The market data has been reconstructed to restrict the fluctuation of the interest rate curve when the market data changes sharply.
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© 2015 Springer International Publishing Switzerland
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Huang, P., Wang, H., Wu, P., Li, Y. (2015). Curve Interpolation and Financial Curve Construction. In: Mathematical Problems in Data Science. Springer, Cham. https://doi.org/10.1007/978-3-319-25127-1_9
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DOI: https://doi.org/10.1007/978-3-319-25127-1_9
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Online ISBN: 978-3-319-25127-1
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