|
EconStor >
Frankfurt School of Finance and Management, Frankfurt a. M. >
Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27828
|
| | |
| Title: | | Interpolation of discount factors  |
| Authors: | | Cremers, Heinz Schwarz, Willi |
| Issue Date: | | 1996 |
| Series/Report no.: | | Arbeitsberichte der Hochschule für Bankwirtschaft 2 |
| Abstract: | | This paper deals with the problem of interpolation of discount factors between time buckets. The problem occurs when price and interest rate data of a market segment are assigned to discrete time buckets. A simple criterion is developed in order to identify arbitrage-free robust interpolation methods. Methods closely examined include linear, exponential and weighted exponential interpolation. Weighted exponential interpolation, a method still preferred by some banks and also offered by commercial software vendors, creates several problems and therefore makes simple exponential interpolation a more logical choice. Linear interpolation provides a good approximation of exponential interpolation for a sufficiently dense time grid. |
| Persistent Identifier of the first edition: | | urn:nbn:de:101:1-2008070285 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/27828
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|