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Methods for Constructing a Yield Curve: Wilmott Magazine Article
Patrick S. Hagan & Graeme West 1689 Views

In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself.
From Manchester to Microsoft: Wilmott Magazine Article
Mike Staunton 3075 Views

Second in a series on the implementation of valuation models and how to avoid insanity.

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