Barrie & Hibbert

Knowledge Base » Fitting the Yield Curve: Cubic spline interpolation and smooth extrapolation

Fitting the Yield Curve: Cubic spline interpolation and smooth extrapolation

Document ID: 2008-1165 (previously 2008/05)
Published on: 1st September 2008
Author: David Antonio & David Roseburgh

This document describes the current Barrie & Hibbert methodology for interpolating and extrapolating to the unconditional nominal forward rate. We use a regression spline technique for the interpolation and extrapolate using the Nelson-Siegel form. We outline the methods and present back-testing for GBP, USD, EUR, JPY and TWD for the quarters from March 2007 to March 2008 inclusive. This methodology is applied to calibrations for all economies from the end of September 2008 onwards.

Please note - this document was updated in March 2010 - the original title was Fitting the Yield Curve: Spline Interpolation and Nelson-Siegel Extrapolation.

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
  • Mortality Model
  • Mortgage-Backed Securities Model
  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
  • Alternative Assets
  • Credit
  • Joint Distribution
  • Exchange Rate / Currency
  • Derivatives
  • Equity
  • Inflation
  • Interest Rates
  • Property

• Product Areas
  • Capital Measurement
  • Product Communication & Advice
  • Product Design & Governance
  • Risk & Capital Management

• Sectors
  • Retail Distribution
  • Asset and Wealth Management
  • Consultancy
  • Insurance
  • Pension Fund

Other categories

• Calibration Methodology & Techniques
• Calibration Notes
  • Market Consistent
  • Real World
• Calibration Targets
  • Target Methodology
  • Target Updates
  • Target Validation
• Events
• Insights
• iESG
  • Version 6.2
• Monte Carlo Methodology
  • Correlation Matrices
  • Random Number Generation
  • Variance Reduction
• Numerical Methods
• Outputs & Validation
• Archive

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