Fitting the Term Structure of Interest Rates with a Modified Cubic Smoothing Spline
J. OF FINANCIAL ENGINEERING, Vol. 5 No. 2
Posted: 29 Jan 1997
Abstract
Spline functions are widely used in the fitting of the term structure of interest rates. This article provides a technique for selecting the smoothest curve in the set of spline functions which satisfy the conditions assigned by the user on the precision of the fitting curve.
JEL Classification: E43
Suggested Citation: Suggested Citation
Kim, Byung Chun and Moon, Nam Sik and Lee, Sang Bin, Fitting the Term Structure of Interest Rates with a Modified Cubic Smoothing Spline. J. OF FINANCIAL ENGINEERING, Vol. 5 No. 2, Available at SSRN: https://ssrn.com/abstract=8081
Byung Chun Kim (Contact Author)
Korea Advanced Institute of Science and Technology
85 Hoegiro Dongdaemun-Gu
Yuson-gu
Seoul 02455
Korea, Republic of (South Korea)
82-42-869-2910 (Fax)
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