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Interpolation Techniques
Copyright \u00a9 1996-2006
Investment Analytics
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Interpolation Techniques
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Why interpolate?
Copyright \u00a9 1996-2006 Investment Analytics
Interpolation Techniques
Slide: 2
Straight line interpolation
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Cubic spline interpolation
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Basis spline interpolation
Structuring
Why Interpolate
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Copyright \u00a9 1996-2006 Investment Analytics
Interpolation Techniques
Slide: 3
\ue000Project security cash flows
\ue000Need forward rates on coupon dates
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Valuation
\ue000Need spot rates on coupon dates
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I n either case coupon dates may not
coincide with dates for which zero-
coupon yields are known.
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