Re: Smooth Forward Curve from Market Rates

Posted by Nicolai Lassesen-3 on Sep 17, 2010; 4:29am
URL: http://quantlib.414.s1.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp640p644.html

> On Thu, Sep 16, 2010 at 12:51 PM, luis cota <lo.maximo73 <at> gmail.com>
wrote:
> Thanks for the tip on using the MonotonicLogCubicNaturalSpline - this
provides a smooth curve as I was expecting.  Regarding the forward rates, QL is
showing about 3.56 and Bloomberg is about 3.55, so perhaps there is another
error showing up with the comparison curve stripper.  Where can I find a
listing of the different types of interpolation schemes available on what data
they can be used?

Perhaps this paper could be of interest:
http://www.finmod.co.za/Hagan_West_curves_AMF.pdf

Br,
Nicolai




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