interpolation category

Definition

You define an interpolation category for each yield curve type. The interpolation category determines which method is used to interpolate the missing annual grid points in a yield curve.

Currently, only the following interpolation category is available:

With cubic spline interpolation, third-rate polynomes are to some extent used for interpolation.

The advantage in comparison to straight-line interpolation is that

instead of having a continuous curve, here continuous differentiation is possible, with the result that the curve is smoother.

Another characteristic of the resulting yield curve is that when there is monotone initial data, a rising yield curve, for example, it is also monotone.